Well, shading techniques are mainly trials and error. I have been experimenting for 2 years and still haven't found a style that I really liked. But for the basics, you have to first understand how lighting and shadows works, for example, observe under what circumstances are the shadows smooth and under what circumstances are they sharp, and also where the shadows and bright spots are. You could have a try now: turn on a lamp and observe the shadows on and around your hand or something.
Next time when you're watching anime or looking at someone else's drawing, instead of just thinking that it's pretty, observe how and where they apply their lighting and shadows. Also look for what kind of style you're looking for -- is it cell shading that you like? Soft shading? Painting? Watercolour painting? etc etc. And try to imitate those artists (imitate, but not completely copy their style), and eventually you'll build your own style ^^