Recently there was a colored pencil class on the forum.
http://www.drawspace.com/forums/index.php?showtopic=3029There are some PDF files in the first post that are very helpful. This is what got me started in colored pencil. And in answer to your questions, it's generally wiser not to use black for shadows because it ends up looking very flat. A lot of times a darker version of the main color or indigo or a dark purple. It depends on the object. Seek out examples of other colored pencil artists and look at their work.
As for the second question, it depends on the artist. Some only use 2 or 3 layers, some use dozens. The amount of pressure on the pencil each time you run it across the paper determines how much tooth is left and how much more the paper will take. Light layers built up can lead to dozens. How you choose the right color has never been answered satisfactorily to me. However, nothing is ever one solid color, not even a plastic toy. The light hitting the object makes for many shades of, for instance, a red ball. So using a single colored pencil will not do justice to the object you are drawing. That being said, if you are not drawing things realisticly, then anything goes as with any other media. The other thing to keep in mind is that the colors in the pencils are not opaque, they are translucent, and as such the color you put down first will affect the color you put down next. That's why it's helpful to have another sheet of the paper you are using handy for trying colors out. Also if you take and layer pink then red then orange for instance, the final color will be different than if you reversed it, or put down red first. Sounds weird, but try it on a scrap of paper, you'll see what I mean.
I hope I was of some help answering your questions. Hopefully some of the more experienced colored pencil artists will stop by and correct me if I'm wrong or maybe explain it better than I did. Good luck.
Debby