Depth is produced with different shaded patterns. Try shading in different directions. Horizontally for the background. Diagonally for her face. Vertically for her hair. Try lightly for her face, darker for her hair, sloppily for the background... heh. Just remember if it looks different it will sit on a different "plane" or "layer" in space.
Right now, I'm trying to find a good balance between color and depth. Nacchi's hair is dark brown, but I wanted to push her eyes back so I made them darker. It will take more shading as we progress to see how dark we can push the whole image.