What artistic technique is possible with a wooden pencil but not a leadholder? Leadholders let you draw with the side of the lead, and sharpen it to any shape you like. They're practically the same as wooden pencils except you don't need to cut the case to sharpen them.
A cheap paintbrush is practically the same as an expensive one, but I'd not trade my $70 watercolor brush for a cheap one. In art, practically the same can get weirdly different results. Simply changing a brand in the same category (paint, for example) can mean color differences and some mixing issues if mixed with some other brands.
With this, it is more issue of price, availability, personal preference and practicality. Some folks will seek out such a thing, but most wont.
I found one from Faber-Castell (generally available brand of art pens/pencils). [1] The hardness isn't marked on the outside of the pencil (good for looks, bad for pencil changes) Though it comes with 14 different hardnesses of lead, refills only come in 11 (You don't need such a wide variety most times though). Oh, and they are $11.50 each.
I'd use at least 3-4 different graphite hardnesses in one picture, usually a few more. $45-$60 with hard to find replacement leads for a small benefit that doesn't seem to improve things the way a good paintbrush does. After all, you can just buy Faber-Castell wood pencils (a set for around the price of one) and get the same quality lead.
Now, more to the point, the concerns I would have switching as an artist: some mechanical pencil lead isn't quite the same substance as the pencils, and it is obvious when one erases and blends. Not only that, but I'm pretty sure that even though you can use the side of lead, the shape of the tip is different sort of support than the wood against the pencil. I can see how folks would prefer one sort over an other, so it might not work out.
My almost totally unsubstantiated understanding is that you tend to get less graphite and more binders in mechanical pencil and leadholder leads, because they need greater mechanical strength to stay in one piece without the support of a wooden matrix.
I can say that lead extracted from a Dixon Ticonderoga produced considerably less smoke than an 0.9mm Pentel-branded mechanical pencil lead when I drove five amps at 30VDC through both of them in turn, as a test of whether a newly arrived bench supply, cheaply bought from a no-name manufacturer, would live up to its rating. Both leads eventually glowed cherry red, as would be expected of any small-diameter carbon resistor dissipating 150W, but I wasn't equipped to measure such temperatures any more accurately than by eyeballing the emission color, which suggests a temperature in the rough neighborhood of 800-1000°F. On the way there, both leads cooked off everything that wasn't carbon, the Ticonderoga lead producing a faint ribbon of smoke that ceased after a few seconds, while the mechanical lead, despite its smaller diameter, released such a robust and prolonged emission that I wondered whether it might burst into flame. Once they'd cooled back to ambient, I handled both leads, and found the Ticonderoga about as sturdy as it had initially been, while the mechanical lead became extremely fragile with the loss of whatever waxes had burned off; I wasn't even able to remove it from the test jig without breaking it several times, and when I carefully loaded the largest piece into a pencil and tried to feed it for a writing test, it was too weak even to stand up to the clutch.
I haven't tried it with leadholder leads, not having enough use for such tools to own any, but I'd expect a result closer to the mechanical lead than the wood-pencil one.
Colour leads are not commonly available, and is often not as good in quality compared to cased colour pencils.Charcoal is not hard enough (I think) to made into lead form for lead holders. Water soluble leads I haven't seen in forms for lead holders.
Even if colored leads were available for the holders, I'd be shy to buy them without at least few different holders. indigo ad blues would show up with the yellows, assuming they leave some residue on the holder.
