My suggestion is to play with your brush settings.
When I shade/sketch, I use a simple round brush (sized to whatever I need at the time) and the below settings. I use PS7, but it should be very similar/the same as CS4. I used CS4 back in high school and I can't recall there being any difference in this vital setting control.
You can get here by simply clicking "Brushes" (mine is above by navigator).
I used those settings (everything on "Pen Pressure," really nothing special) and added the high- and low-lights to this
drawing. So as you can see, it's very versatile and ideal for equine shading, if you ask me!
However, in short, you're going to be using lots of tones... I started with the "usual" brown of that bay horse, but used probably 10-15 different variations of it for the shading and highlighting. Nothing is "white, black, base color" when shading, and using the darker and lighter tones (other portrait artists suggest at least 5 tones) helps create life in your work.