This was done in Clip Studio Paint, but the same can be done in SAI and Photoshop.
1. Pretty detailed sketch - this takes most time of me. I do lots of versions for each limb, composition corrections...
2. Lineart - Time consuming and sometimes boring, but a lot of depends on this.
3. One color fill - So there will be no empty spaces in flats. Use magic wand on places you want to be empty and then invert selection and fill with any color you like.
4. Flat colors - Each color on it's layer for easier use.
5. Cell shading - I pay attention to where the light source is to lay shadows accordingly. I prefer to pick one color to all the shadows of clothes and hair in Multiply. In this one the shadows are blue. But I color skin in Normal with darker shade of skin color.
5. Highlights, color correction, fancy background - Done ^^
In GIF form - ipic.su/img/img7/fs/bayonetta_…
Process for this piece -