Just threw this together because people have been asking C: This is how I do fur! Let me know if you have any questions.
This is the shading brush I use (3rd one down)
And this is the palette where I pull my shading colors from.
I used the first color in each set as a highlight color (the one you use in the overlay layer) and the last three as shading colors.
I use this process is most of my paintings, best example is this one:
If you want to do THICKER fur like this
simply make the brush bigger and use shorter strokes.
Again, feel free to ask questions! I used Photoshop CS6 for this, but it works in any Photoshop version as far as I know.
BG texture by `cloaks