Hmm I'm not sure what style you are after.
You could use gradients for a cheap 3D effect, but it would appear less professional.
Maybe a cartoon-like character would look more appealing, with no gradients or blurring used.
And even it would make sense to start sketcing on paper.
Check out
Dillerkind's posts, he knows the in and outs well of drawing characters, and posted some good tips here and there.