Tonal scales are ways of exploring tonal values. It is a common exercise in art classes to be asked to create a tonal scale.
This can be done with pencil, charcoal or paint. Usually the learner draws a scale divided into at least five squares. The first square is the darkest tone you can create with the media so pure black if you are working with black and white paint. The last square is pure white so can be left blank if you are working on paper or use pure white paint.
Why would you do tonal scales? It teaches us about tonal values by having to find the increments of tonal values between the very darkest and the very lightest tones. The more challenging tonal scales are made up of seven to ten squares. The increments are very slight in a longer scale requiring more accuracy with tonal values.
Also see Which Pencil?