I received a make-up sponge in a goodie bag not long ago and thought nothing of it, but gave it a go just to smooth over my foundation once I had applied it with my fingers. Perfection, it helped hide my pores perfectly and blended my make-up edges in a way I could just never achieve with my fingers.
So what I like to do nowadays is squirt some liquid foundation on the back of my hands, to heat it up a little, then dab a sponge in it and blend onto my face, starting at my nose and working outwards. I find this is the best way to keep it looking natural.
If you start to use a sponge, just make sure you wash it frequently. I like to clean mine with a make-up remover and rinsing very thoroughly.
Bonus tip: Get one without sharp corners for no streaks