I'm sure you'll eventually learn to do it Just rember to pick a lighting direction/source and to be consitent with it across your piece. You can then refine from there.

Best make use of examples and reference for an extra hand.

Sadly, the pillow shading will remain for a while. At the moment, I'm only uploading to PixelJoint some of my older works with some of the newer ones, for comparison purposes, but pillow shading is still one of my biggest faults when it comes to pixel art. It's the thing I am trying to change the most but, no matter how many shadding tutorials I see, I don't seem to get how to do proper shading. Improving from pillow shading into something else will definitely take some time from me.

Your piece has 405 colors. You should also fix the pillow shading.