This is another one where there really isn't a right answer. Smokey eyes look "smoked" out. They are a blended combination of different colors. Smokey eyes don't have to be black. You can smoke out any color. You can use eyeliner and smoke it out, you can use pressed shadow, you can use loose pigments wet or dry and then blend them. This is a quick tutorial Beth did on how she does smokey eyes most often. Check out dem brows doe!

This look is using brown to smoke the black into. How far out you go with the smokiness is going to depend on several things including the severity of the look you're going for and the size and shape of your eyes. Many people do the eyes first and face makeup afterwards, that can help with fallout. You can also hold a tissue under the eye to catch fall out or dust a heavy layer of translucent powder under the eye that you would just brush off at the end. 
Speaking of eye shapes, this is a helpful go to for some different eye shapes. These aren't complete hardhats rules, do what you want, but they are helpful to keep in mind. 
There are endless tutorials on eye makeup so I won't bore you with those. There are tons of resources and the only thing you can really do is practice and experiment. This is just a jumping off point. I will however share with you some of our versatile line of loose pigments:
-Use wet like eyeliner or wet as body paint

-Use over black or white eyeliner to make different looks

-Use dry like loose pigments

-Mix in mixing medium to create airbrush paint in custom colors

-Use with lip gloss to create a lip color

Some other lines of loose pigments work in the same way. Not all do, it depends on what bases are used. Ben Nye's Eye Dusts do also.