What program do you use to sprite with?
Because i think you should try GraphicsGale, it's perfect for this sort of thing.
By right clicking (color picker) the color you will see the saturation, darkness etc..
I'm sure most programs do this but i only use gale at the moment so i can only recommend that program.
And with gale it's there under your nose as the palette rests on the side so it's comfortable to use (much better than MSpaint anyway).
The hair is not too hard really, take a look at anime hair and how it's drawn and you get the idea,.. i know it's not as easy as that but i can't explain it any better.
Maybe try drawing it a bit and you'll start to get the hang of it.
Tanas hair tutorial is very good for this.
Character is looking better, just add a shine on the head band around the top area where the light would hit, maybe use that light color you have on the gloves, this will make it pop more.
For the bangs make that outer color darker and get rid of the slightly darker shade completely, when working with a small spaces like this you mostly need around 3 shades tops, so i suggest the yellow, a somewhat darker color to separate the hair strands and the darker outline to make it stand out against the face more.
I can put up an example pic if you like too.
When it comes to me pictures have always worked better than explanations, that's how i've learned most.
E-I'm sorry i forgot you mentioned it was more a headband, in this case you can add a slightly brighter lighting instead, if it's not a plate you need to go a different way about spriting it though, maybe not have the shape look so squareish because that's what gives it that appearance, i think you should remove some pixels from the corners to make it look more like cloth.
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If i'm wrong about anything feel free to correct me guys, i'm still learning myself
