Ok, Heres how to shade.
Lets say we want to shade a round object, like this circle (O), realistically.
(My art teacher taught me this and I have improved incredibly)
First, find a spot the light is coming from. You don't want 2000 suns all coming from one direction. So lets say for the O, we want the sun to come in like this O<----o (o is sun)
Then, make a small round cut out in that side (C). Leave that part the lightest, that is where the sun is coming from.
Then, make the opposite end the darkest, and make it, from there, go from dark to light.
But keep in mind that the sun isn't the only light source! There may be lamps, or imperfections in the perfect spere. For lamps, just draw highlights of white in that direction. For indents, use a slightly darker shade randomly where the indent/imperfection is.
Remember, though, pillow shading is terrible. Never. Pillow. Shade. Ever.