would you have any tips to build a good palette?

Beyond what Mandrill points out which improves your sprites a lot (use as reference but do not copy) if at all possible make your sprites on a transparent background if possible. Its not a rule to have a transparent background but it does look nicer and more professional. If a background is required as a design choice then that's always cool.

Madril thank you!, thank you for giving such help, I really have trouble in preparing palettes. If you want to help us is welcome.

Cool little sprites! One thing I don't like though is the palette. I think it lacks depth and contrast.

I did a quick colour correction without changing any of the clusters.