When I shade with acrylics I use Folk Art Brand Artist's Pigment. I can water them down and dry brush them on and still get a nice amount of color. After I use them I hit the fur with a warm blow dryer (be sure to keep it moving so as not to scorch the fur) to set the paint.
I have recently discovered hard chalk pastels for shading. I find them really easy to use, it is like applying make-up.