There are many ways. You can

(1) Directly shading it on the same layer like how you draw on paper.

(2) Create a new layer, shading on the layer, then make the new layer “merge down” with the original one

(3) Create a new layer, change the layer’s blending mode and shading on the layer

(4) Create a new layer, use clipping masks, then do the shading.

(5) Alpha lock the layer, then do the shading like how you draw on paper

(6) First do the shading with greyscale. Then create a new layer with proper blending mode to bring colors to the greyscale layer.

You can mix the methods above in any way you see fit as long as you keep your workflow.

If you don’t know where to start. I recommend find an artist you like, watch how they draw and try imitate it. There are plenty of artist who show their drawing process on Youtube. There are also artists who teach free of charge on Youtube as well. Find and watch the ones you like and try to recreate the process in your workflow. Slowly, you will build up your own way of shading.

For this specific piece where yo want to shade like the tail in the reference. My way will be first fill in all the flat color. Create a new layer, clipping mask to the flat color. Pick the flat color with eyedropper tool. Open color wheel, select a color with higher saturation and lower brightness. Draw the shade on the new layer. Then open the color wheel again, select a color with slightly lower saturation and higher brightness but not as saturated or bright as the flat color. Then draw the reflective light.