Oh God, are they EVER messy! I almost gave up after my first pastel pic, but then decided to keep a damp sponge beside me, and I constantly wipe my hands on it while working. Of course, I end up with Snape's Potion Stained Fingers, regardless! (and really dry hands!!)
I always use my fingers to smudge the chalk. Is that what you do? Or do you use some sort of tool?