There is no problem to working with mechanical pencils! Mechanical pencils are, in fact, my second favorite medium, personally! (A nice pen, a micron or a really smooth ink roller, is just immense fun, but...)
It's just that the techniques for mechanical pencils, the sort of styles you want to aim for and the things you should try to focus on and the techniques to making them look good are quite different from, say, artists pencils. Mechanical pencils have significant strengths, and you want to play to them - they are clean, they are sharp. You can get nice, finely defined edges and consistent line widths. This is really great for lots of art styles!
But it means that if you do something like shading, you have a very limited amount of techniques for doing so that look good. Those sharp edges mean fills generally look atrocious, and cross hatching isn't nearly as attractive (in my opinion) without varying line width on the hatches. My advice would be... don't. Don't worry about shading. Focus on doing really good linework and detailing, because really good linework is something mechanical pencils excel at.
Considering working with a straight edge at your side - draw buildings and other objects with clear straight lines or smooth curves. Take a pile of gears, and draw that pile - be careful to track how the lines overlap and fall under each other. Find areas where things don't actually look good on paper and make it a little less lifelike (avoid tangents!). Go to an alley or pick your favorite building, and have at it. Don't draw things head on - find things that are jutting out at angles, but have clear lines that differentiate them from your surroundings that you can seize on.
Once you think you've got some really nice basic linework with mechanical pencil, I'd recommend scanning it in and going digital, or taking up inking - both are really nice to work with off the clear images you can create with a mechanical pencil, far easier than with more "arty" pencil mediums. And that's where you'd learn to do shading and varying line widths and stuff like that.
Or you can decide to do shading with the mechanical pencil, but unless you're careful or using different leds the shading will generally be strongly "directional" and will often seem pretty sketchy - the larger you draw, the less obvious this will be, but a "smooth" shade is a bit harder to achieve.
For your sketching exercises (which you should be doing all the time), carry a stack of sticky notes or something, and whenever you're not doing anything with your hands, fill that paper with interesting lines and curves. Just relax, and let it go, and build up from what you're drawing. Start in a corner, and just detail your way to the opposite corner, filling out the whole thing. Do not erase, and do not return to areas you've already filled! Try to figure out, if you make a "mistake", how to make it work and keep going. This is pretty fun with mechanical pencil, and gets even more enjoyable if you switch to pen.
Note, none of this is to say you CAN'T do really awesome shading work with mechanical pencils - you totally can, and people do! I just don't feel that doing so is playing to the strengths of the medium. Also note that you can get mechanical pencils with a range of leads as well, which are much closer to the traditional range of pencils, and renders most of the points I've made here moot.