Ok! I just made a sort of hair example/mini tutorial. Prepare for wall'o'text after the image XD
Base is by Hollay http://thehword.deviantart.com
Ok, for the first line there, I've stetched out how I would do a few different hairstyles. The blue lines are to show the general direction the hair would fall. The main thing, I think, to remember is that hair isn't flat and so you don't want to "glue" it to the base. You can see that the one where her hair is up, the hair is closest to her head, because when you pull your hair back like that, it does lay relatively flat, any other time, it's going to have a bit of volume. I didn't go into anything super complicated like hairstyles with back combing and whatnot, but I hope it gives you a general idea of how I sketch our hairstyles.
For the second line, I did a general walkthrough of how I go about doing an actual doll's head of hair. I picked one of the more "complicated" styles, the one with half her head shaved. Each number relates to the picture in that order, from left to right.
1. Basic sketch (on a seperate layer from the base)
2. Hard-pixel outlined, and filled in with a base color.
3. General shading down, just enough to give me an idea of where everything will go and just defined enough so that I don't have to have the ugly sketch visable anymore.
4 and 5. Adding more shading, this time focusing on some of the scribbly lines I made in the step before, defining them more.
6. First layer of hi-lighting. By the way, I don't really change the brush settings at all the whole time, I generally use a fairly hard (about 80-85% hardness) brush at a fairly low opacity and just build the colors (about 10-20% opacity, this time it was about 17%).
7 & 8. More hi-lighting. I'll note also, that usually for a palette (which I don't normally make, I just pick colors as I go), you get more "depth" when you go for a cooler toned shadows and warmer hilights. In this case, moving towards the red/purple side with the shadows, and towards yellow with the hilights.
9. The finished product (minus the shading under the hair on the base, but that's pretty simple). For the smudging, as you can probably tell, I don't do a ton of it. My smudge brush settings are 0% hardness with a very, very low strength, usually about 3-8%, this time it was around 6%. I also don't smudge the whole thing, I pick and choose where it needs to be smudged, typically where it looks too obviously painted, to give it a softer effect. For burn, I set the tool to midtones and use it with a low (3-8%) opacity too, and same goes for the dodge tool, except set to highlights. I use both burn and dodge sparingly as well, dodging mainly only on where the light hits alot and the burn mainly where something in over the hair (like her shoulder, etc.)
I hope that helps, it sounds much more complicated than it is, and of couse, this is just the way I do it.