I've used a lead holder from my drafting board days:

http://www.staedtler.com/en/products/pen...788-leadholder/

Works well on smooth / s4s material.
Okay on rough stuff.
For rough stuff I like the Mirado Black Warrior.
Or a traditional carpenters pencil, sharpened on my chisel or with a layout knife.

I've also used the mechanical clicky pencils.
OK on smooth stuff.
No go on rough stuff, although I haven't tried the thicker leads.