This image in particular, a depressed, cat, pin-up type character, the hair was a more bold style and less smudgey than I've used in this project.
I began with the shape, and one shade of blue. After establishing where the light source was, I added the highlights. Not very exciting, but I used a lighter shade of the original colour. This was applied using the chalk brush on about 11 pixels, as well as the standard hard round brush. This, and a lot of patience for drawing many lines. After this, the shading areas were achieved using the burn tool. Simply, I burned the shaded areas, so as to achieve a better shade than just black on top of a normal colour. Specifically, I selected midtone burning, about 15ish % exposure, varying a little for darker shades, while trying to be subtle about it.
Here's a helpful bigger image.
To see a more defined image, go ahead and click here (= I'll be sure to write a more complete and detailed version of this method another time, perhaps not the night before handing my work in...