Well this is how I do it.
Say you are shading using a 3B pencil, obviously the greatest point is to not press hard and build the shading up slowly to control flow from dark to light. I find it is best to work from dark to light going lighter and lighter, till you are barely even touching the paper with your pencil.
Then once you are happy with that, take say a 2H pencil, it must be a hard type pencil, doesn't reall work with you B pencils, and what you do is go over the shading in a slighlty different angle and make like a glaze over it with the 2H pencil. If you can understand what I mean by that.
That will then fill many of those little white (or whatever colour your paper is) spots making the gradient a lot smoother.
Hope that makes sense and helps a little.