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Here's a really awful shading demonstration done on (the thigh of) one of your characters... hopefully somebody better than me who finds it infuriating will come along and can give you an even better demo, :)
In grayscale, you can build up these blobs of form using the airbrush, and then define the form more explicitly with the hard round brush (or in Oekaki drawing mode, that's the paintbrush below the pencil tool)