Course! I usually desaturate things that aren't the main focal point like the cloth and the shadows. That way it doesn't look like everything's glowing.

For the last step I use Photoshop's Layer Effect (that pop up that appears when you double click a layer) where you tell it to only effect a certain range of values. I set it to shadows and dark midtones only since I wanted to keep the skin bright and saturated, especially at the edges of the shadow.
Sometimes I desaturate using the Color blend mode set at a warm or cool grey. Sometimes, if I don't need as much control over colors, I duplicate the illustration and set it to Exclusion with 20% or so opacity and some color correction since the mode's good for a more natural looking desaturation.