We have some basic shading down, but it looks a little flat. This last shading step will add a bit of depth to it.
Start off by making another layer to hold the new shading.
Pick a region, and make a new deeper shading colour. You'll want something darker than your first shading colour, but you'll also want to change the hue more this time, since shadows are tinted by ambient light.
Select the original mask you made for it. Then, go to your first shading layer, and choose 'intersect transparency mask'. Make a temporary layer, and flood fill with your new colour. (This is to help avoid colouring over areas that weren't shaded on the previous layer; however there's nothing wrong with just painting a blob and erasing as before if you prefer).
Now, erase the new layer to reveal the previous shading. You want to leave the areas of heavy shadow untouched, and blend the rest of it into the previous shading, so the gradients will be a lot more gradual than before. I was using a 200px brush a lot here, as well as reducing the opacity of the eraser.
Keep doing this for all your masked areas. The shadows are a lot deeper and more subtle than before; keep it simple if you don't really 'get' the places that should be shadowed, but it will almost always look better with this. I also added a little of the 'shadowed edge' I've seen in other pictures - its another element I don't quite understand, but on curved surfaces, a lot of artists have a dark highlight along the edge of the transition beween light and shadow.
One point is that the skin is shadowed with a slight purple tinge - the skin colour has had a slight blue tint added to it. You see this a lot (try sampling!); I don't understand it, but it looks nice so I'll run with it.