Conte' crayons are almost like a pastel, but not really. Maybe a cross between pastels and crayons. I don't think that the colored pencil will stick to conte' - so I don't believe they would work together. I have used colored pencils to put highlights into charcoal drawings before.
You can get sets of conte' in all colors - but I have always just used them to do sepia toned drawings. I love the shades and the richness of color that you can achieve with them. Compared to colored pencils - the biggest thing is that you can Not get the fine detail with the conte' crayons that you can with colored pencils. And you have to be careful not to overwork them because they will get an almost waxy shine if you do.
There are advantages to them over colored pencils - it depends on what I am trying to achieve with the piece. The color is richer, and they cover better. Not as much fine detail - but that is not necessarily a bad thing, depending on what you are trying to do.