Glaze is just fancy word for using heavily diluted paint.
I normally use paints with consistency a little thicker than milk. For glazes, I add Vallejo Glaze Medium and water (it can be done only with water), so the glaze mix looks like really thin milk.
It is important to absorb not too much glaze mix with the brush. Depending on how dilluted the paint is, color will biuld up on the painted surface after few passes. I sometimes heat up mini with hairdryer, just a little bit, so each pass will dry quicker.
Cool way to try glazing is painting dust on lower parts of cloaks.