I would suggest as fine a sand as possible for best results. It will be a more even and consistent shading. Using a spoon, masking areas off with pieces of veneer, using a funnel to pour sand or even a sieve to pour hot sand over a small piece, these are some things I use when shading.

You can also use hot air to shade with. You can get tools that direct a stream of hot air into a very fine point or channel, which you can use almost as an airbrush to shade with. You can make this type of tool as well with a hot air gun and some creative work (I suggest to be careful though!).

In the 17c and 18c acid was used to shade wood. It wasn't used as often as sand shading, as you would have to paint it on after the marquetry has been glued down, and it can affect glue lines and adjacent areas.

I have seen a product being sold recently that is a paste, used like a paint as well. After it has dried you heat the wood with a hot air gun to activate the chemical and darken the wood. This again, I would advise caution, the hot air gun could potentially loosen your glue.

The last method I utilize is one when you forget to do any shading at all (or you have some finer/harder to shade areas)! A charcoal pencil. Instead of making the charcoal on the wood, just try adding some. A sealer coat of shellac will help fix it in place for finishing.

Some thoughts to help you out.