You don't need color for these sketches, but when you do use a key. Every time your character changes environments or scenes adjust the character's key to match the setting. If you're character is in a daytime scene, brighten and blue the colors. If your character is in a moonlit midnight scene, readjust. If your character is in a sunset, warm, and brighten the hues closer to orange, and dull the blues. Some of your whites might turn yellow. Examine these changes in your own everyday life to predict and depict how your character might change accordingly.
STEP 1 - Work from archetypes or don't. Choose characters that are going to have a story. Use clothing, expression, facial shapes, gestures, poses, props and surroundings all to communicate the nature of your character. When characters come in contact with another how are they going to handle foreign characters in their environment? How are characters going to adjust according to characters in their environment. I chose a queen for my first character, because they have a lot of power, but usually do it by proxy and through servants and subjects. They are interesting because they are meant to represent noble aspirations, but sometimes fall short of what everyone would like them to do because of their power.
STEP 2 - Decide on characteristics. Does your character hold a smile back, or do it openly and freely? Does your story's narrator view them as a hero, or a problem?
STEP 3 - Further your characters along by deciding how they will interact in situations and traumas. Do they escape unscarred, or changed?
Use posable figures, or refer to paintings and sculptures you adore. Try your characters in poses you wouldn't normally imagine them in, what does it mean for your character's identity when you place them in an unexpected situation? What's going to happen as a result? Draw it. Include captions and words while you sketch.