My understanding in using weathering powders is that ideally, what you want to do is paint everything you're going to paint and then seal things, with the final coat being matte. (You could use gloss or semi-gloss, but matte has more "texture" to which the weathering powders can stick.) If planning to paint additionally above and beyond the weathering powder stage, a good halfway point sealant-wise is simple (as cheap and plain as you can get it) hair spray. (Extra Hold Suave used here, "borrowed" from the wife.)
You can use most any liquid to "thin" weathering powders in order to apply them by brush. Weathering powders are essentially just extra-fine-grained dry pigments and you're technically not "thinning" anything by adding liquid to them, but by using the powders suspended in a liquid medium, this allows them to flow wash-like into crevices and the like. Anything that acts as a surfactant is probably best: like rubbing alcohol, Future Floor Finish/water, GW Washes, water/dish washing detergent, turpentine/mineral spirits/white spirits, etc. The problem lies in "thinning" pigment powders when you use something that dissolves acrylic paint - a little too heavy with the brushing and you've started to ruin the underlying paint job (which in itself can be used as a technique, but that's a different writeup); hence the initial step of putting some sort of barrier between the underlying paint job and the pigments.
In terms of sealing or "fixing" the pigment powders to your model, there's a lot of options you can use. The easiest and best-looking would be to use nothing: this lets the texture of the pigments themselves play itself up to best example, but the downside is that the pigments rub off with any handling - probably best left for display models that won't be handled. Next best would probably be what MIG Pigments recommend: a liquid fixative, along the lines of turpentine, acrylic thinner, or MIG Pigment Fixer - it semi-dissolves your underlying sealing spray when (gently and carefully) brushed on over your pigments and when dry, essentially leaves the pigment powders embedded in the underlying sealant. Maybe last best would be some sort of sealant spray again: pump sprayers would cause the least disruption (but be more prone to causing "puddles" due to spray pooling on the figure) whereas aerosol spray would have a more even finish but be more likely to blow away a decent amount of your placed pigment powders during the process of sealing - kind of a Catch-22, but there you go.
By way of example on this finished GW Skaven Warlord, I used Old Rust and New Rust colored powders on the blade of the bardiche over metallics tinted with purple, brown, and black - I added a few other colors of pigment powders elsewhere, like Concrete Dust on the clothes, Soot in some of the darker crevices near the hem of his robes, etc. After fixing the weathering powders with MIG Fixer, I went back and emphasized the nicks and dings in the blade of the bardiche with paint, as they had gotten "overwhelmed" a hair by the pigment powders. I then added a bit more selective shading and spotting with brown and black translucent inks. The figure is sealed with a few thin coats of Krylon Gloss Varnish spray (so as to try and play up the pigments and coloration) and then a final coat of Testor's Dull Cote spray (for protection and to tone things down a bit). I went back and emphasized select areas of metallics with brush-on gloss, since Dull Cote (or any ultra-matte sealant by nature) tends to make metallics look flat.
