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In practice, it isn't the best idea to paint white as you can't go any brighter than white (can't highlight white because white is already the brightest color). Best idea is to start with a light gray base coat, then go brighter gray until it's very close to white. In the GW paint line, it would be best to do it this way unless you already have a bright gray primer on your model:

Celestra Grey (base)
Ulthuan Grey (layer)
White Scar (highlight)

If you're already using a light gray primer, you can choose to leave out the Celestra Grey. Also, if you want to shade Celestra Gray before using Ulthuan Gray as a highlight, GW recommends Nuln Oil. I would personally use a thinned down Nuln Oil as I think it would be too dark right out of the pot. You can use either water or Lahmian Medium to thin the shade before applying it.

It's something I've had to learn the hard way as well, but it does make painting "white" a good bit easier. Hope that helps!

SG