My advice is to study from real photos by color picking at first, just to get the feel of how colors and light are supposed to act in certain situations. The dodge and burn tool have a downside to them is that they always over-saturate your paintings, and thus are to be used only when the painting is almost complete to be less noticeable. Dodge also drags your colors towards yellow-orange and burn towards red-purplish. In a case where you don't want your light/shadow to have those colors, this is really harmful.
[link] Best shading tutorial I've come across yet, hands down.
Honestly, just looking at your gallery I wouldn't have known you were using dodge/burn on most of the pieces
I personally use a pallette (I've currently got one from an outside source, but I'm going to make my own pretty soon) with a wide variety of hues, saturations, and brightnesses sorted in color gradients from one to the other; which dumbs down the color selection porcess a bit and makes it more efficient.
Yeah, you do it with the paintbrush tool and your chosen setting. I personally like the airbrush. On regular setting. Just the color and your opacity.
Really, what you need to do is go get some paints or oil crayons or colored pencils or whatever, sit down and do some stuff on paper. Without your digital tools, you'll have to learn the technique. Which you then apply in your art program.
Well, honestly, I tend to shade backwards >>; Fill a multiply layer with a pastel/tint color and add white or a white/yellow where I don't want the shadows. I'll be happy to show you if you like, though I'm no good at tutorials XD Main thing to remember is color theory. :3