Pastels can be used in a variety of ways, outlined here. Each of these pastel techniques can be used on their own, or combined, to produce a pastel painting. There is no right or wrong way. As with so many things in painting, it comes down to what you enjoy doing with your pastels.
Remember to try each pastel technique with different pastels -- hard, semi-soft, and soft -- as each gives a slightly different result, as will the various pastel brands.