These are actually really challenging for me as an artist. I start off traditional with gouache and watercolors (painting over a photo- copied on watercolor paper) and then proceed to scan all of the "finished" pieces into photoshop. Afterwards, I arrange everything in photoshop and add a textured background. I then go in and add back in line quality and tweek anything I really find that's not quite right (this includes shading, highlights, placement of things, or pretty much whatever needs to be fixed). Then I add in the shadow.
Overall, I really like the way these are looking and each one keeps getting better and better. They just take a lot of time to do, unlike my other character sheets I've done in the past and am currently doing on the side.
