I love working with sanded pastel paper. My favorite is Colourfix Coated Pastel Paper by Art Spectrum. It's a wonderfully versatile archival surface  that "withstands all manner of artistic experimentation." One of these, and not the least in order of importance, is the application of heat.

In the examples below you can see how I develop a flower petal with Prismacolor Colored Pencils and Caran d'Ache Neocolor II Wax Crayons.

Step 1: After finishing the first petal, I'm getting ready to begin the second one.
Step 2: On the cool zone and with sharp Neocolors, I block in all the local colors of the petal. The tooth of the paper easily captures the waxy pigments.

Step 3: After moving the paper to the warm zone, I begin melting the waxy pigments with a taper point color shaper. It's a simple process that can also be accomplished with a flat chisel color shaper (use the side of the tip for melting). This approach is much faster and gives you more control than adding water to Neocolor II. First of all there is no wait for the paper to dry - the melted pigments solidify as soon as the paper is removed from the heat - and the intensity and hue of the color do not diminish. Besides, it is so much fun I just can't get enough.

Step 4: The petal is now covered by a thin layer of melted pigments that I like to call "wax foundation."
Step 5: On the warm zone, with a sharp white Verithin I penetrate the previous layer and create fine ridges that will become the petal's veins.

Step 6: Here I'm developing the colors and the details of the petals. The layering of colored pencils is accomplished with Prismacolor Premier using the side of the pencil point. On the warm zone the waxy pigments melt and blend in with the foundation; on the cool zone they will sit on top for optical mixing. Sharp Verithin pencils are used for details and fine lines.