I use Dullcote, pastel chalks, and some spray paint. I first spray the entire loco with Dullcoat before applying chalks and other paints. The paints I use are a flat black spray and/or Floquil Grimmy Black which I just ran out of. Once all the chalks and paint has been applied I then seal everything with a coat of Dullcote. Here are the two steam locos that I have weathered this year ... a Docksider and a Pennsy A5. These are the first two locos I have ever weathered. For the A5 I splashed coal all over the tender deck to give added realism.
Docksider, I sprayed drivers/ side rods with Floquil Grimmy Black spray paint to get rid of the shine. 
Dockside sitting in the yard.
Dockside in natural morning light as it shines through a window ( out of photo ) on left.
Side view. Camera is hand held. Loco is actually on level track
The K line A5 brand new just out of the box. The little fella there is giving the A5 the once over inspection.
A5 after the weathering process.
I splashed extra coal on the tender deck all around the coal bunker.
Front tender apron with spilled coal.
Another view of the tender's top side. 
I've weathered many of my freight cars before I attempted weathering these two locos. I applied the same weathering process to these locos. I find the weathering process most relaxing/therapeutic.
