My old technique involved painting in color and using only a small round brush. Now I usually paint in greyscale to work out my lighting/tones/textures first and I use a mix of small round brushes and custom brushes as well. Once the tones have been built up the way I like I will then add color and further tone/strengthen the image with a variety of specialty layers/functions. I do a lot of high end photo retouching so I tend to use features in Photoshop like adjustment layers, masks, etc to create my works.

The basic layout is a dark color for the 'paper/canvas'. This creates a neutral workspace and helps my eyes to not get fatigued by looking at a bright, contrasty screen. I then will create a new layer above the sketch and begin to paint in the fur details. At this point I am not worried about lighting at ALL, only texture. Once I have built up the texture I like, I create yet another layer on top of it and begin to paint my lighting. I will usually duplicate this layer and have several instances of it in the piece, existing in a variety of later styles including 'overlay', 'soft light' and 'hard light'. On top of that I will add the final detail layer where I paint in key highlights and shadows to help strengthen the base I created with the previous layers.

I hope this helps :) If you need me to clarify more just let me know! One day when I have some time I shall put together a tutorial for this technique.