The techniques for shading vary so much, that there is no "right way". The method on the left was done using only the paintbrush tool and straight colors. The method on the right used masking and the gradient and airbrush tools set to "screen". It's really up to personal preference as to what method you use yourself.

As always, play around with the different tools to find a combination that works best for you.

Useful Tips
Something to keep in mind when coloring is how the image will look when it's printed. For instance, does your image use illegal colors? Will it be too dark when transferred to paper?

"Illegal Colors" are colors that cannot be reproduced using CMYK. (Cyan, Magenta, Yellow, Black) Even though your image is being drawn in RGB, printers use CMYK inks, and may not be able to accurately print the colors you specify on the screen. (Especially very bright reds, greens, or blues!)

To make sure your colors are "legal", set your sliders on the "picker" menu to CMYK. (If the color is illegal, a little "!" will show up next to it.)

Screen brightness can also be a deceiving factor. A picture that looks very bright and clear on screen, may turn out dark and muddled when it prints. The reason this often happens is that people forget to keep in mind that your screen is a light source.