Does anyone use charcoal pencils for exhaust stains? I tried search but didnt see any notes on this.
Yes, but not to draw. Shave some of the charcoal with some sandpaper and brush the resulting dust on as exhaust stains, gun port stains, etc. There are also some fine pastel chalks which can be handled similarly. I like a rust color.
Using powders and pastels like this is pretty fragile. They need to be sealed as the rub off easily.
Second that on how to use the charcoal pencil, and I also recommend getting yourself some pastel chalks. A set of earth colors, good for weathering, is relatively inexpensive. I got one with a dozen sticks for around ten bucks.
There are powders available from AK and others, too, but I prefer to make my own from those pastel chalk sticks.

Charcoal pencils and pastel chalks will work best on flat finishes.