Value refers to light and dark. The more control you gain over the use of value the more realistic your work will appear, and the more choices you will have in the finished result.
A direct way that you can do it is to have drawing pencils in a variety of softness/hardness. The softer the lead is the darker the mark it leaves. From hard (F) to soft (B) the leads either get harder or softer by the number.
You can also make different types of markings to create a variety of values. It is a good exercise to create a value scale from different mediums and methods.
Below are examples of how basic shapes can be made to appear three-dimensional, by applying values with shading.
It is a good practice to keep a sketchbook and capture items showing the differences light can play on an object. The simplest shapes can have the most interesting value changes.
A well known trick is to squint your eyes when looking at an object to see the strong contrast in values. If you map out your value areas BEFORE starting to put in any details , it will help you have a more cohesive drawing.