Thanks, Ritual, Krule, and Scherdy.
Scherdy, are you talking about the colors for the different sections or the colors mixed together for highlights, midtone, and shadow? In terms of the general section colors, I try to go in with a general idea of what I want to do, but I give myself some freedom to make changes as I go. Often I'll know what I want to do with major sections, but then smaller details are figured out once I see how things look next to each other. In this case I knew I needed three main colors (one for his armor, one for the majority of his robe, and a final one for the left sleeve), so I went with a triadic color scheme... basically three colors equally spaced around the color wheel. Red-blue-yellow would have been another option, but I'm going with purple-orange-green. I also considered using a split complimentary color scheme (think of that like drawing a Y on the color wheel), but wasn't as happy with those combinations.
Regarding the colors for highlights/shadows... if it's something I haven't done before, I'll test out different mixes on my palette before going to the figure. I've been trying to bring more consistency into my figures by reusing colors, so in this case the Burgundy Wine paint is the darkest shadow for the purple, the orange, and will get used in the green too. There was just a hint of it in the skin shadow as well, but not too much. Similarly, Linen White was my highlight for the orange and the skin, it will possibly be worked into the green highlight too.
Yeah, I'll use stippling for transitions when I need it. It's not my primary method (though it's nice for textures like leather), but it can be helpful in breaking up the borders between different shades. So if I can still see a line between one color and the next, I can go in a stipple around it to break it up and help disguise the transition. It doesn't work in all cases, but if the transition is subtle it can help make it even harder to see.