The birds are in form much like two cylinders. Get two cylinders (opaque glasses, cups,etc) and set them next to each other like the birds. Then use a point source of light (window, flashlight, worklight,etc) to light the cylinders from different directions to see the shadows. I often use blues to express shadows in my watercolors. I'm not sure how well that would translate to colored pencils.
Here is a dropbox link to my watercolor workshop videos if you are interested. One of the videos is on shadows and reflected light. You can download and watch the videos free. You can stream the videos at dropbox but they will only let you watch the first 15 minutes so downloading is best. To download select the video you want and you get a new screen. Click on the three dots in the lower right corner of the screen and then click download.
The episode order is;
Why Paint A Picture?
The Four Painting Types
Mixing Color, Mixing Big, and Painting Big
Shadows and Reflected Light
Details and Texture
Float your mouse over the videos to see the titles at the bottom of the screen.
All The Best