To create a stroke of paint or create a smooth path for dodging and burning, first create a path with the pen too. Then, make sure that the painting tool that you want to use is set up with the correct options (such as brush size and opacity etc.). Finally, from the Paths panel fly-out, menu, select Stroke path and select the desired tool. This can be extremely helpful for example, when trying to follow curves in a object such as an edge on a car to add a highlight to. Note that you can also choose the simulate pressure option to simulate pressure sensitivity of the tool.