I have found the best way to make grey is to simply mix a small amount of Black paste/gel icing color into your white Royal Icing or gum paste. Since Royal Icing is so pure white in its natural state, a large amount of Black icing color is needed to yield a true black color; as such smaller amounts of black will give you grey shades. Depending on the specific shade of grey you are looking for, a very small amount of blue icing color may help as well. Please keep in mind that you need to start with VERY SMALL amounts of black (and a speck of blue if you are using it) and work your way toward the specific shade of grey you desire. If you are looking for a more silvery-grey, consider using silver pearl (also known as petal dust) on the finished/dried product; this can help you achieve a metallic effect.
Also, here are some other general things to keep in mind when mixing icing colors:
-- It is a good idea to let your icing stand for an hour or so before using it. Colors tend to deepen slightly in Royal Icing so if a specific shade is critical, its best to mix it up before and check it before using to see if adjustments are needed. Additionally, I often do 'test pieces' to see how a color looks after it has dried since a color may appear slightly different when dried. (I usually keep the gingerbread pieces that didn't turn out too well and I decided to re-do for this "testing" purpose since it makes me feel better when nothing it a total waste).
-- This is really just common sense but it is always better to mix a larger quantity of a color than you expect to actually need since it can be extremely difficult to match the exact color shade later in a different batch of icing, This is especially important when you are using two or more icing colors to achieve your desired color but even with a single icing color its a good idea.
-- If you don't already have some, consider getting the so called "White-White" icing color. This sort of resembles a bottle of White-Out from the old typewriter days and is often used in Wedding Cakes to make butter cream icing look white instead of slightly yellow from the butter it contains. However, this whitener can also be very useful with Royal Icing when you add too much of a color and need to lighten it but don't want to impact the overall consistency of your icing by adding additional 'full strength' white icing to it. This has saved me a number of times....
Hope this helps.