I don't really have a set method and keep experimenting with things to try to work out this whole shading thing, especially since I started using color three months ago. Here's what I've been doing recently:
Primarily I shade with black ink and a size 4 Raphael brush--sometimes with hatched and cross-hatched lines, or dry brush once in a while, although I'm really trying to use those sparingly and stick more with big bold blocks of light and dark--if I could figure out how to do it successfully all the time I think my pages would all be big chunks of black and white, leaving almost no linework, with a limited flat color palette giving just enough further information to define everything:
I'm coloring digitally, mostly on layers beneath the scanned ink artwork, which is above them on a multiply layer. White or black ink spatter can serve to give some idea of light in the physical piece; digitally of course there are plenty of options for shading, for instance sometimes it can work with just color rather than value, like with these overlapping "Foreground to Transparent" linear gradients (there's also a very subtle yellow radial gradient over the inked lines in the upper right area)
In that one I was also using different line weights--thin tapering lines made with the tip of the brush on the face, vs blocky thick lines drawn with the side of the brush on the tight material around the neck--to create different types of shading for different surfaces.
Once in a while I have resorted to using the lasso tool method, where you define your area to be shaded with the Lasso Tool in Photoshop, then fill that area with something, for instance a darker gradient than is used on the illuminated part of the object you're trying to shade
although I try not to do that too often because it looks a little too slick to me.
If you're shading with essentially just one color, the obvious way to create depth and lighting is to vary the color's value, but you can also do it by varying the saturation--this has a bit less overall contrast in it but can make up for it in color intensity
If I need to inject a bit more atmosphere into the inks, I may group a coloring layer above the ink layer, usually on Screen, and throw a light gradient or something in on low opacity, to give the darkness a bit of a glow, or even just a hint--lots of possibilities here
although I think I've been overusing that of late.
Sometimes if something just seems a bit off I'll throw a Hue/Saturation layer over the shading colors in question and throw its Hue slider around to see what comes out; perceived value (brightness) changes with color, so this can yield some color and effective value shifts that improve the shading in surprising ways, or suggest new palette directions; for instance in my latest page I started with these colors
used a Hue/Saturation layer set to "Color" blending mode ("Hue" blending mode works identically in this case, by the way) to shift just the colors--and not their values, as it would if left on "Normal" blending mode--to this
which was interesting, (and here's the comparison with how the colors come out in "Normal" blending mode
--notice the yellow is much brighter, for instance) but after playing with it some more I ended up switching the Hue/Saturation layer's blending mode back to "Normal" and going with this hue shift toward the other end of the spectrum
Also in that one I broke from my usual default of leaving pure white as the brightest color in the image--with that big white jagged spotlight area on pure white it was just too bright and contrasty and distracting from the rest of the image; lowering it down a bit with a light color made it easier to read and even gave it a touch of atmosphere, I think.
Another thing I tried in that one was a bit of atmospheric perspective: on the left side, the faint light cyan glow from the unseen background light is at a very low opacity over the big black back of the character's head looming right in front of us in the foreground, at a higher opacity over those funky little prongs hanging down on either side of his head, which are supposed to be farther away from us than his head is, and finally at an even higher--though still fairly low--opacity over the black background, furthest from us.
Incidentally, if you ever want to desaturate your colors partially, without having their relative values shift--as they will if you just use a basic Desaturate process, because for instance we see fully bright green as brighter than fully bright red or blue, yet if you were to use a standard Desaturate on them they would all shift toward the exact same middle gray--there are a variety of ways you can make that happen; the handiest I've found so far is to use that Hue/Saturation layer set to "Hue" or "Color" blending mode, drag its Saturation slider all the way down, then change the layer's opacity until I get the level of desaturation I want; I used that pretty heavily to get the desaturated shaded look seen here, for instance:
The darkest shadow colors there are not really dark but they pass for dark in part because the overall color contrast is very low, so small differences in value really stand out.
Another thing I tried in that one was to make the thin pencil outlines (this was before I switched back to ink) do some shading work: I colored the outline on the lit side of her head white, turning the whole line into a highlight, and then I colored the outline on the other side the same color as the interior shadow, so that the shadow itself wouldn't be upstaged by the black line.
I don't usually like to leave my linear gradients showing as obviously as they do there, because it gets to looking too artificial, but as a one-off hopefully I got away with that one.
Oh, yeah, and I've found that one really important thing particularly when working with shading in color is to make sure your screen's gamma is correct--otherwise the value balances of your colored shadows could all be out of whack on everyone else's screens, not to mention that the whole thing overall could be too dark or too light. My LCD monitor is kind of old and has a pretty small viewing angle, so if I happen to have my head too high or too low the colors look brighter or darker than they actually are. So I made myself a desktop background and a little gamma measuring image that I place next to the image I'm working on in Photoshop--out of the magic gamma calibration images found here: http://www.photoscientia.co.uk/Gamma.htm
For instance while working on shading in Photoshop I'll have the little gamma measuring image right
right next to the one I'm working on; when the lines in it blend to an even gray I know that I'm looking at that level of my monitor more or less straight-on, so the colors I'm seeing are pretty much the real colors.