One method is similar to that, yes. You could make an icon with little to no shadow or light, then you add the light and shadow. I like to do something like that sometimes, because then its easier to change the light source depending on what the base is being used for.

I'm not sure if that is the 'right' way, but I do use it or at least similar sometimes.

Edit: That's not much better. The problem is that you're using like one color for each light level. I personally use around three or four colors for my base, excluding shorts and eyes if they are present. One for the outline, one that's a bit brighter than the outline, one that is a little brighter than that and thus is a mid tone, and then finally one that is the brightest.

I believe this, or similar, is quite common. Oh, also your difference in color brightness may be a little to subtle. Hard to say, depends on your goals.