As I said on your other thread, I am addicted to Bragdon weathering powders. Here's an example of what I've done w/ them:

you need to seal them if you weather something you're going to be handling a lot (use dullcoat or something similar (I use Model Master semi-gloss b/c my LHS is out of dullcoat). Spray the shell of the object to be weathered, then apply powders, then sporay, apply more powders if desired, spray again, etc. Just make sure to either take the windows and headlights out of the locomotives (what I do), or mask them well. If you're weathering something you won't be touching that much, then you don't need to seal it, because the powders stick.
One more tip: if you disassemble a locomotive or something for weahteirng, if you spray the shell w/ sealer, either leave it disassembled for weathering, or if you put it back together, don't try to disassemble it again, b/c you'll ruin the powders with your fingers.
I'm planning on doing a tutorial on weathering a boxcar w/ bragdon powders, I'll amke sure to pm you a link about it (or might jsut post it on the forum)