Arachne had a good post about working on each piece bit by bit at Pixeljoint. She explained how it's better to get things sketched out somewhere else, though, but I agree with balls01. Working on each bit piece by piece might make you end up screwing up proportions or give up on something. I've always thought it a good idea to sketch out your general sprite/scene and then add what needs to come as you work.
Arachne@PixelJoint:
Yeah, I know the feeling. In addition to posting in the forums early in the process, I think it's also a good idea to start with something sketchy and gradually refine everything instead of finishing one part at a time. It should prevent you from becoming too attached to it until the end.
That said, I think you're doing well so far. It captures an anime style! You might want to make things stand out more, though, as everything looks fairly flat so far. That might be a stylistic choice, however.
Anyways, good luck on this! (I love how you randomly come back out of nowhere and post this same thing everywhere, lol.)
-Dex