Start with a reference, decide the color of the light, then layer ontop of each other.
For a shadow base blue and purple work best as a neutral shade. Then basically work yourself through the spectrum and the lighter bits you tint the color towards whatever color the light has (natural light is not fully white btw.)
Best start with flats you want to define and then do mid shades.
You should end up with something like this (it is me doing half way realism so and it's tanned skin)
From there on you continue (which is what I am doing there right now) with making transitions softer and give defination to where it matters more.
You can blend or not, that is personal preference. At leats that is how I do it, have been doing fine with that technique the last few years, others may do it differently.