The biggest thing you want to keep in mind is that these sprites have what people usually call pillow shading. This is where everything looks "pillowy" because the brightest of the sprites is facing the camera head-on and also it doesn't consider the light source across the entire sprite, just each section. You want to keep in mind where the light source is coming from. Most sprites I've seen have the light source to be coming from the top left, but anywhere is fine as long as you're consistent. You would want your brightest part of your sprites reflection to be in the direction of where the light source is coming from and the shadows away from it, roughly speaking.
There are a lot of tutorials online for pixel art and shading so you might wanna look there too. It has been a very long time since I've used pixel art tutorials, but I recall reading through this one and finding it helpful:
https://pixeljoint.c...s.asp?TID=11299(there's a section partway through on shading specifically but there's lots of other stuff here too)
It might help to draw some practice spheres and try shading those. Or maybe just jump into editing your old sprites and seeing how far you can get, your call.