Hey
First of all,
pillow shading is a no-no, and I'm seeing it a bit in the first and last girls. You want to have a defined source of light that makes for interesting, variable shapes of shadow.
Working with such small characters, it might be better if you removed the outlines. They take up unnecessary space and make everything appear flat. Instead, use shadow to distinguish different areas from each other.
First girl has pretty broad upper arms, making her look buff (and her gloves uncomfortably tight).
Nice job so far! I like the princess-ish theme they've got going on.