First, start out by drawing your outline of the cap.

Next, find your spot of light. In this case, the sun is coming in from the left.

NOTE: Do not add your highlights like this. It's called pillow shading and it looks TERRIBLE

THIS is correct. The highlights are where the sun is facing and bend with the hats curves

Next, you want to add your darker values at the other end of the hat. Since this is away from the light, it will be darker. Make sure to curve it WITH the bends in the hat.

For a more realistic finish, blend these highlights and darker spots in with lighter shades for the dark, and darker shades for the light.
THE END.
Sorry for the bad pics, my drawing program was spazzin