Indeed, most of us do.
You have certainly come to the right place! Welcome to ZP!
The ideas vary, but the most common one is the Dremmel, with a diamond bit (no not a physical diamond, diamond shaped). It has little square grooves that cut through the layer of the pumpkin.
This creates the look you are looking for, no?
There is also a 4 in 1 tool
by Pumpkin Masters, that can provide you with a "sculpting tool". This takes of layers of the pumpkin, also getting you this look.
The other and least used method (and is a money, not time saver), is to just carefully gouge the pumpkin and lightly peel off the layer you want. This can be done with just about any knife.
But if you're also going to cut out pieces, which looks great with partially shaved 'kins,the ZP! Pro Carving Tool
should help you with both applications really.
Just be careful if you are going to use method 3, as it takes patience to do, method 2 is similar but saves a bit more time, where as 1 is most efficient.
Hope this helps!