If you are doing a quick sketch or roughly shading an area, the direction of the pencil marks can be very obvious, and even quite dense shading can still reveal directional marks. A common mistake that beginners make is to begin shading along one edge of of an object in perspective, and to continue that direction all the way down, so that by the time they reach the bottom, the direction of shading is working against the perspective, as in the panel at top left. Beside it is a panel shaded horizonatally: again the shading fights against the perspective and flattens the drawing.
In the second example, the direction of shading follows the perspective correctly, with the angle changing gradually so that it is always along an orthagonal (vanishing line). With a practiced eye, you can do this by instinct, or, as you see in the example, you can draw subtle guidelines back to the vanishing point first. The right panel of this box is shaded vertically. This doesn't accentuate the foreshortening as perspective shading does, but it also doesn't fight against it. Another good option is to use circular shading and avoid creating any directional movement at all.