Pastel pencils are used just like regular coloured pencils but they have a pastel lead, which can be blended and mixed into soft shades and colours. One major advantage over traditional pastel sticks is that they aren't as messy or dusty. They can be bought individually as required by your project, or as a box set.
Colin Bradley's downloadable pastel art packs recommend the use of Faber-Castell pencils, and most projects use just 6 colours, often the same, so it may be more economical to buy them in singles.
Your local art supplies store will probably stock Faber-Castell individually. If you don't have a local store, try searching on eBay for Faber-Castell Pitt Pastels...
Faber-Castell Pastels on eBay UK
Ingres Pastel Paper
Ingres paper is used with pastels because it produces a lovely textured effect to a project - the lines in the paper mean the pastel doesn't cover every single part of it and you get parts of the base colour coming through. Therefore, you will find that pastel papers come in a range of colours which help add to the overall feel of the painting.
Colin recommends using 160g sand-coloured Ingres paper, or any light colour...just not white.
Again, your local art store is likely to carry pads of Ingres paper, or search small retailers on eBay...
Ingres Pastel Paper Right Now on eBay UK
Other accessories are used with pastels such as putty rubbers and blenders which make life a bit easier - more information about aids for pastel pencils can be found on Colin's membership site.