Via Pinterest, I came across an interesting post on Blending with Colored Pencils. For my own work, I usually use a Prismacolor Colorless Blender or turpentine-type solvent to blend my pencil work.
Carrie Lewis suggests a few other alternatives that I will be trying: paper towels, bathroom tissue, rubbing alcohol or rubber cement thinner.
She also suggests using colored pencils themselves to blend. Carrie says to "burnish with a color that’s lighter than the pencil color you’re burnishing."
Check out Carrie's site for more colored pencil tips.