Here are a couple of general tips which might be usfull as a starting point:

For small detail areas (wheel wells, exhaust stains, etc.) I like to use a short, very stiff brish to "scrub" on the weathering powder.

For a larger, overall pigment application I use a makeup brush which I stole from my wife.

Try working over a sheet of paper when applying pigment powder. It makes less of a mess and allows you to re-use the powder that falls off the model.