How should I do the shading?

I suggest that you add shading on Luke and Vader's face, and redo the shading on Vader's helmet because that, and the posts holding up the bridge that they are on, are gradient shaded. Also, add shading onto the rest of the wall and floor, and put it on Luke's hair. This is basically all I can say to help make it look better right now.

I do lay every pixel by hand exept for places where I need to do a long, straight single pixel line. The I use the line tool, but I don't use it often. Where would you surgest that I add shading?

Well, I'm not very good at constructive crits, but I'll try. Zoom in and do everything pixel by pixel. Do not use any other tools other than the line tool and the pencil to do the outlines. Then, start shading the piece pixel by pixel. Thats basically what I'd do, in a simple form. Just keep trying on this piece, its a good start.

I know, it's the first time I have done anything beyond individual characters. I'm figuring it out as I go so cut me some slack? Constructive critism would be far more helpful. If you don't think it is any good, tell me how or what I should do to improve it.

Sorry man, but this isn't very good. You used gradient shading in some parts, and in other parts it seems there is no shading at all.