This is a really good question.
There are a number of ways to do this, but you'll eventually probably settle on a couple of techniques:
1. Sponge (as stated in the previous post)
2. Fine pointed brush
Note: It's important to practice these effects before trying them on your models. Don't rush the technique, learn it.
Below is a combination of sponge and fine brush. On my my Templars, I used a terracotta color and I like how that turned out. These chips do not have a highlight line to provide depth on them.
In the next photo, I have used a two level technique where I've applied a dark brown in splotches with a fine brush, then come back with a light grey line to highlight edges and give it some depth.
I am going to use this technique when I apply battle damage to my Kill team.
On the next photo, I've applied the terracotta color, but then painted a dull metal interior, which only shows up when light is on it. It's a pretty interesting effect and I like it because it's subtle. I did this for all of my Templar vehicles.