The Metropolitan Museum of Art and Michael D. Gunther, on his website Roman Painting: Frescoes From Campania, explain the process used by the fresco painters.
First 1-3 coats of a mixture of sand and lime (mortar) were applied to a wall. Following this, 1-3 coats of more lime, this time mixed with finely powdered marble, were applied to create a mirror-like sheen on the surface. Sheets of lead were inserted into the wall to prevent capillary action that would allow moisture to damage the pigment.
While the lime-marble powder mix was still wet, pigments were applied to the fresh (or fresco) surface. First, primary colors were applied making light incisions on the fresh plaster surface. Softer, pastel colors were applied when the plaster was dry.

