Depends on how smooth you want the animation, and the style of your game. If you're new to pixelart, go with 2 frames, one with his legs front and back and one with them together.
For shading, i always do it with a light source at the top left, because the tutorials i found on t'internet were pokemon sprite tutorials, but it doesn't matter. Just don't pillowshade them. Start with the base colour that you coloured it in, and make it a little darker, then colour in the bottom right parts of that colour with the darker colour, and any parts that could be overshadowing that colour. Then, get the base colour again and make it lighter, and make a thin line, which will be the highlight of where the light directly strikes the subject.
