well this particular piece was done with oil pastels, so they generally blend well. sometimes too well... theres no true way to teach shading, you just experiment until your happy with it. As for shading, you have to think of what your drawing as a 3d figure in your mind. Inspect it from a bunch of angles or at least imagine it. Pick a light source, like where do you think your light is coming from. Above? below? there are many different shading techniques, that which most deviants make tutorials here on deviantart. you can look through them an try them until you find the one you like most :3