This helped me greatly improving my art, and my first picture done after reading your tutorial will be up soon. But I have one last question about this: By what criteria do you choose your shading color? Is it depending on the basic color you are shading, or is it the color of the light that defines it, in which case do you use a darker shade of the same color as the light or a complementary color? Or something completely different?
It's a bit of a rule of thumb here - whatever feels right, and suits the tone of the image. The Bloodmare had to be red, and being a sort of infernal creature, I went for warmer colors as I added lighter highlights. When I add shadows, I tend to use colder colors, and they tend to be a *little* more saturated (not too much though). The shadows on the BloodMare were toward blue/purple. If you're working in photoshop keep these details as a separate layer at first, then use Hue/Saturation or Color Balance and play around with sliders to see how different colors will affect/improve your picture.
You'll learn the most from your mistakes and errors. Experimentation is the key