GIMP is good for shading, but if you use skinedit then i reccomend using novaskin.

PS: "Thanks" for trolling me on buildcraft -_- jk :P

Depending on what program you're using to make your skins, there's various shaders/burn/lighten tools. Generally speaking, you want to make the pixels immediately touching the hairline slightly darker than the others to give off the right 3D feel to it. Same goes for the inside of the arms. Mildly adjusting the RGB sliders can give the right effect in this situation. Lightly burning the skin would give off the right texture as to make it look less formulaic and more realistic. Don't go overboard, test things in small increments and you're good to go.