Most traditional cheeses in supermarkets have been bandaged throughout their lives. Moulds will grow on the bandage, and when the bandage is removed, the colour of the mould can be left behind. This is not always grey, so you may be referring to a specific cheese, in which case more info is required. To make a rind on a hard cheese requires good pressing, a smooth unbroken coat to the cheese, storage at the right temperature and humidity, with regular attention to turning, mite control etc, which is outside the scope for most home cheese makers. I would recommend waxing instead.