I don't think you're there yet.

The blues look random, especially in the hair, you need to apply shading techniques.
Get rid of all those black outlines inside the sprite, it's too obvious.
The white to grey ramp totally doesn't work either. You shouldn't use pure white there, and the intermediate shade should be less dark.
Also, I'm not convinced by the shading, I can see no clear light source here. Parts are more pillow shaded

This guy would be right at home in a Phantasy Star game

Nice. I wish I could sprite like this... I really like the style, yet the fact it's just a simple character design.

I dont think so, this looks way better :) A different palette can help tho... Real greys are boring, mix a little yellow with the light grey and a little blue with the dark grey for example

Nice idea , it remembers me pokemon diamond/pearl trainers