There are a couple of ways to do it:

Using putty or Spackle as mentioned,  there is a TAMIYA made set of zimmerit tools to help you out in 1/35 scale,  In 1/16 I used a razor saw blade.  You can also make a stamp for a waffle patter zimmerit effect.

A second method is to use a pyrograve,  This is found at woodburning areas. This takes practice and a penalty for error is great.

Lastly, is to use sheets of Zimmerit ready made by Cavalier  these run around $20 a sheet.