I do it whenever I'm going to be under stage lights or out in the bright sun - cause these things just obliterate your features. But I have a theatre background, so learned that trick looooooooong ago. Oh, and the "shading" shadow should be matte (without shimmer/mica), but the highlight can have shimmer to it. Here's a great pictorial - starts on "Step 4" (although it's for theatre makeup, so it's a bit more extreme & done with creme makeup instead of powders - but it gets the idea across): wwwnew.towson.edu/stagemake...index.html

I do shading, but I actually do use a different shade of foundation. It's the same tone, but a shade darker. I only use it when I'm going under stage lights, but it works like a dream. I blend the darker shade under my jawline, under my cheekbones, on my temples, and just a little bit on the sides of my nose. I also put highlight powder on my forehead and top of my nose and cheekbones. The eyes are nothing but contouring, and I use two colors of lipstick to contour my lips as well.
When you're under bright lights, it's all you can do to stand out from the background really!