There's a saying, which, paraphrased (mostly because I can't remember it exactly) goes, "An artist is only as good as the tools he has." It -really- applies to painting miniatures, I think. A good brush-- something better than what you'd get at a craft store and made specifically for painting miniatures, and higher quality paint (Reaper Master Series, Vallejo, and even P3 are far and away superior from Citadel) helps a lot.
From there, mastering three basic skills will put you well on your way to making your models look as good as they do in the books. Drybrushing, washing, and layering are all easy to learn and are staples of every good painter.
Drybrushing is a simple way of highlighting the raised areas of a miniature without specifically picking them out. Ideally, you've got a flat brush, rather than a round brush, to do this with, and one that you've devoted solely to drybrushing since it's rather hard on brushes anyway. After putting some paint on the brush, wipe most of it away on a cloth or tissue-- you want it to look like there's nothing left on the brush. Then, lightly brush the area you want to highlight. Eventually, the paint that is left on the brush will be picked up on the raised surfaces. It's better to spend more time brushing rather than apply more paint per stroke, as it gives you more control with the highlights.
Washing is sort of the antithesis of the drybrush. To wash, either use the pre-mixed Games Workshop washes, or thin your paint with a ratio of about 80% water to 20% paint. You're looking for a darker shade of the area you're washing. From there, apply it to the model, and it'll naturally flow into the recesses, shading the model without any finesse required. Again, it's better to use multiple thin washes rather than one heavier, thick one.
Layering is probably the most simple of techniques. After basecoating an area with a dark color, apply a lighter shade of the same color, leaving the darker color showing in the recesses. Then, apply a lighter shade of the mid-tone, leaving some of the mid-tone showing. This is basic three-stage highlighting, and creates a nice gradient that's very easy to do. It's best to use the point of the brush to paint in general, but particularly when layering so that you're able to keep paint from spilling into the recesses and areas you want to stay darker. As always, it's better to have two or three thin layers of a single shade to get a smooth coat rather than one thick one.
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