There are a few different techniques involved. First, each color is on a different layer. I think most digital artists do this but man what a time sucker. Then the shading is more methodical and less sloppy. In my usual "QuickPaint" technique I just use the airbrush tool to add shading, starting from a larger and moving down to a smaller brush. It's much quicker, but there is usually a lot of shading that bleeds off the edge of the figure. It's messy, but some might call it "artsy." Also some different settings on the shading and highlight layers. If I were making a print comic, I might do something more like this, but otherwise... meh.