Like anything else, it takes practice. You should start by shading simple primitives such as spheres, so you can get a grasp on how shading works. It's actually a complicated process, but don't lose heart. In the end you'll get a very good result. Here's some shots of a Yoshi sprite I was making at one point in time:
I've started with the outline. I've made dotted lines to indicate where the cheek area starts (white).
I color in the sprite, then I start working on shades. I would have posted a picture of the sprite without any shading, just color, but I never really posted one like that during development.
I fix the shading to make the shape come out more.
I make the outlines lighter by matching the inside colors with slightly darker hues.
And here, I go, "Ah, **** it, the shading sucks. I'm redoing it." Now the light source is coming from the north, and creates a much more realistic effect on the image.