Like physical shading and what not? Im at school and bored right now, so if that is the case i'll explain it. If not, oh well.

1. Outlines: now there are two outline styles.
a. Black
b. Colored
When you use black, it normally ends up looking cartoonish, that is why most games that aren't using base icons normally end up choosing colored. Black is simply a black outline that wraps around the edge, or is the edge of the icon giving a very defined but unrealistic base. Colored edges are generically based to be in real life, the color of the actual object. Though the colored edges look a lot better if they are darker to define where the object actually is. Colored edges actually could be plausibly black if the object was dark purple or what not. Anyways. After you have made the basic outline and are happy with it go on to the next stage, Base coloring.
2. Base Coloring:
base coloring is a rather simple process, you fill in your "skeleton" or base. You fill it with a bland color that will eventually be shaded but the color you want so you can toy around with edges and so. Make sure when choosing a skin color it is realistic and not the color bright yellow or dark black, look at your skin you'll be shocked to find out your not black or yellow. Anyways, once you have drawn the colors that you desire where you desire then you can move on to step three.
3.Shading:
There are numerous forms of shading though i like my style best personally. Don't fall into the style of "Gradient" this is where you go from a dark color to a light color randomly across your icon. Not only does it look bad it also looks amateurish. I personally add color where it looks good, and since i normally outline and base color with dark colors i just have to add flecks of light and darkness to make my icons look good. This is probably the hardest part of making an icon, besides animation. It takes time to learn how to shade right and took my roughly a year(though i'm sure people have done it alot faster.) Oh well, that is all the advice i have to give, i hope that helps....
Man school is boring :P.