I usually don’t work strictly with colored pencils. Most of the time I use them over acrylic paint to enhance the painting. In that case my favorite is to use a gessoed illustration board which gives it a nice texture. If I’m looking to do pure color pencils only, I’d go with a slightly colored / textured paper like Canson Mi-teintes.
Just going off a previous question - if you decide to try digital again definitely hit up Corel Painter. You'll be able to "mix" paint and I find the results much better than custom brushes in Photoshop. Anyways, keep up the awesome work.
First I’ll start with a pencil drawing that is relatively tight, followed by an underpainting. I’ve mostly been doing my underpaintings recently in greyscale but you can do it in color as well. The point of the underpainting is to have a value painting of the final art. Then, I like to airbrush a base coat of my colors in. I keep the paint transparent at this stage so that the underpainting is visible. It’s important that you never lose the original drawing and underpainting. Once the basic colors are in, I begin painting in my highlights opaquely with a brush and colored pencil and finish the details.
There might be a post in my archives on this topic that included pics. If not I’ll get around to a step by step process in the future. Hope that helps!