Your layer(s) with all the base colors will be in a folder. Then above the folder make a new layer for shadows. Set that layer to 'clipping group' and 'multiply' then shade away! If you are still having issues you can send me your SAI file and I can set it up.
i bear no love really for MLP but i find this tutorial really informative and useful, im going to download this and use it as some brush and technique referencing, maybe ill even get creative and do a tribute piece to it!
For comics I use a 3784 pixel width with a height around 6000 or 7000 pixels. For the Chrysalis picture in the tutorial I worked in 2539x1929 pixels. And the Fluffle Chrysalis picture was 3563x3452 (a bit on the large size). At the end I re-size down about 33-60% from the original.
You might need to take system memory into account too. For the last comic I was at 95-98% memory use so I couldn't make it much larger.