Take a look at my gallery if you want, youŽll find some similar works. I use "artweaver 3.0" (totally free software) and I often chose the "chunky oil pastel 20" of the "oil pastels" brushes. Type circular, method mild cover and cathegory flat. For me, the tip is that I set a base color (plane, without tones or textures) and then set what colors and tones goes in what area of the drawing. Using these brushes with that specifications and setting them in one of the choosen colors, allows me to control the exact degree of that tone by painting one or more strokes in a specific area (because it reaches the choosen tone by acumulation) and then could control the degradation and transition of colors between different areas. In the example you linked, the darkest areas probably have more strokes of a dark tone that the middle-toned ones. I hope I made it clear, but I fear I donŽt dominate english enough to explain myself clearly. Sorry I guess. But feel free to ask me whatever you want if you think I could be of help.
Beb that's actually possible with a grunge brush. That's not a filter or anything. The artist is using a heavily textured brush. I know this because I used to do it for my concept art ^^ Try a textured brush :3