This method is ideal for speed painting. Grey scale -> colour is also commonly used for finished/polished pieces too.
Please do not steal.
If you click on the image you should be able to see it in full. Sorry for the inconvenience! I linked it from my photobucket account.
Program: Photoshop Elements 7.0

1) Really basic lineart, it's pretty messy but speed painting is normally messy so...hehehe no eraser tool for me 8D

2) Blocked in the shadows using a 68% opacity normal brush. I went directly over the lineart.

3) Added more things.

4) I created a new layer and set it to 'color' mode. Blocked in basic colours.

5) Created another layer and set it to 'overlay' mode. This mode allows me to block in brighter shades of colour.

6) Created a layer underneath the lineart and used a 50% opacity gradient to shade the wall and floor.

7) Created another layer on top of the 'shade' layer and drew designs with a plain white brush.

8) I used a soft brush eraser at 45% opacity so the design would blend in with the wall.

9) Set another layer ontop of the 'design' layer and drew the silhouettes of the shadows.

10) Yay chalk marks.

11) I created a new layer on the very top, set it to 'overlay' and filled it in with a dull turqouise-grey.

12) I added a somewhat subtle texture to the wall to make things more interesting. I like abusing textures >___>;

Yay done!