Hello Doug, I think its great that you're taking an interest in your creative side
The 5mm pencil I was talking about is the 0.5mm... sorry for the confusion, I should have been more literal.
The thinner lead will penetrate deeper into the tooth of the paper, allowing less of a bleed through of the white, deeper paper. With a thicker lead, the graphite won't go as deep and you'll see the white of the paper bleed through the value you just put there, therefor, making a dark object with a lighter value look. Of course, that depends on a lot of other things too, but allowing a light value to bleed through a darker one creates a different effect than a straight dark value. So, using something like a .5mm may take a little longer, but it helps really saturate the paper.
The graphite in the 2B mech and the 4B wood being close to the same is really an illusion for the most part IMO. A 4B wood will blunt easily and do what I said above with the paper bleed, as the mech will stay sharper and more consistent, allowing it to penetrate the paper better, therefor giving an overall darker value. But, the graphite does seem to be finer in the mech lead than in the woods. It has a different, finer, feel. Both mechs and woods have their advantages and disadvantages. I use both frequently in most drawings. Mechs for most, woods for skin and smoother values, subtle value changes... It all depends on the drawing and how you use your pencils.
Hopes this helps some.