Your three pigmented shadows are the most important part of the smoky eye. You'll begin with the lightest shade, sweeping it over the entire eyelid, all the way up to the brow line.
Next, with your medium gray, cover just the lid, from lash line to crease. Then take your darkest gray and work it into your crease. This will give your eye added depth, since darker colors tend to recede.
At each step, be sure to blend so there are no crisp color changes.
Now apply your sheer, neutral shade either only to your brow or to the entire lid. Applying it all over will further even out the look.
Finally, you'll apply the shimmery shade to your brow if you want some sparkle.
You now have a smoldering "smoky" eye. All that's left are the finishing touches.