I had planned on writing some type of tutorial about weathering for a bit, so here's a first draft.
Here's what I call a Level 1 tutorial:
http://www.3dtrains.com/guides/painting/
Now I've been modifying that because I didn't like the results. The way Rust and Dirt were just added everywhere didn't appeal to me because of how it came out and did not seem realistic. I then found a tutorial for Model Railroading rolling stock that gave me ideas.
http://www.trains.com/mrr/default.aspx?c=a&id=309
Describes how to weather freight cars by putting certain weathering in certain areas and modifying based on region. So adding some techniques from that to the 3dTrains tutorial, I figure Rust and Dirt get applied to certain areas, also the Dirt color should change based on location. You don't put a Dirt color for Eastern US Mountains on something set in the Western US Desert.
Next while working on one engine, I realized sometimes you have to come up with your own tricks depending on how realistic or unique you want to be. I have a reskin for this engine.
http://www.rr-fallenflags.org/dh/dh708akg.jpg
One of my goals in learning weathering was to simulate that filthy patch on the side. So I created a Filth layer that uses a dark brown color and drew the stain. Then I played around with things called Blur, Smooth, Edge Preserving Smooth and Texture Preserving Smooth. They only affect the layer I am on and remove the pixelation so even smaller textures can look weathered. Here's the end result.
If you use Blur and Smooth, expect the end result to be lighter than just drawing with an airbrush or paint tool. This is because to create the effect, certain pixels become lighter while others become darker so they blend together and lose the pixelation look.
Also, try to add certain effects in certain areas. On a locomotive on the Grime layer, add some darker patches where the exhaust stack is and where diesel smoke would be based on the direction you normally expect it to go. Some other effects you can get from reading the model article like where to put Dirt (I normally aim for the bottom, fuel tanks, trucks, front and back areas) and Rust.
Don't expect Grime to show up well on dark colored engines, same for Dust on light colors.
Depending on how much you get into it, weathering can add significant time to reskinning. I've been learning this stuff for several months now where previously when I reskinned an unweathered engine, I could do it in a few days. It might not take you that long, I've been playing around with various effects.
Also, getting to know how things in your paint program work helps. I have one of those books that simplifies learning like those Idiot's and For Dummies Guides. Sometimes, you just go through the menus available and try something there you never heard or read about before just to see what it does. And you can modify some of this for things like weathered buildings.
I just started doing stuff like peeling logos where the logo is missing part of itself. What I do is take the color around the logo and airbrush it on the logo then apply a Blur or Smooth effect so it looks like part of the logo peeled away.
Change and try out different settings of the airbrush. The ones I currently change are:
Hardness - lowering the setting makes the outer areas lighter.
Opacity - lightens the color and makes it possible to blend with other layer colors and see details through it.
Density - breaks up the area of the airbrush so some areas get colored and others don't.
These settings may also be on other tools like the Paint Brush and Flood Fill.
Hope some of this information helps.