This turned out really great!! :D
For the shadows I would have either softened the pencil a bit (using the fingers, a tissue or a blending stump) or used a grey color pencil until they looked at smooth as the rest of the beetle. When it comes to where to place the shadow, you first need to decide your light source. If you have a hard time deciding where the shadow will fall I recommend that you study different objects under different light, for example using a lamp and study how the shadow behaves when you either move the lamp or the object :) I'm not an expert on shadow and light, but studying the real world has helped me a lot :)
thank you for this helpful comment Pixielols, I think I will have to spend some time practising with shadow, it is actually pretty important when making realistic looking art.