How do I achieve this style of digital painting in photoshop ?

Hi

I would do that with shapes.

Create the shapes with the pen tool.

Add a layer above each shape and clip it to the shape (Alt-Click on border between the two layers in the layers panel so a down arrow appears). This prevents the paint from going outside the shape borders.

Paint the shading

Use a mask on the outer shape and paint lightly wth a soft black brush to make it semi transparent

Add some highlights with a soft brush

Dave

I would recommend Vector Masks on Groups and filling the Groups with Solid Colour Layers with the appropriate Layer Masks (or plain Layers) .