That's not the original sketch.
The original sketch was made on a paper that's something that looks like the original one.
step 2 of 7
I'm not good in shading so I've got the idea of modeling the character in 3ds max and then use it in Photoshop :D
step 3 of 7
1-The first thing I've done was the bottom part I've used the orange desaturated it and then added some shading
2-The eye is just a layer and changed the blending mode to color and then colored the eye
3-Used the warp tool to get the shape of the face then changed the blending mode.
step 4 of 7
The egg was made using some sphere intersections and then
The Baby is just a sphere and then added the orange texture
step 5 of 7
To Create the background I've started with an ellipse then used the dodge tool to give variation of colors then used the smudge tool.
The sky was made using a blue layer then added the clouds then made a new layer filter-render-clouds.
then changed the blending mode to soft light.