I work with rgb sliders a lot, and while it's more tedious than the color picker on photoshp, it does have its advantages. Like, all of my pixel art is done with rgb sliders. And I find that it allows me to create a more precise color than using the color picker would. Mostly, because it takes a bit of time to create a color via rgb, so a lot more thought goes into it. The method I use for choosing colors with the rgb slider is to first create a gray that approximates the value that my color is going to have. From there I start adding and subtracting from each color in varying increments until I am happy with the color I've made. Having an indexed palette is also helpful, that way you can easily change a color and see its effect in real time.
I also don't typically ensure that my darkest colors are the most saturated. Often times I find it advantageous to tone down the saturation of the shadows on a sprite in order to make the lighted regions pop more. Although, looking at a lot of my recent pixel art, I notice that the trend seems to be that of the opposite. Either way, both methods have their place and my statement still stands.
The best way to learn about picking colors is to study artists that you like, and even some you don't, and try and figure out why what they're doing works. Of course, you can look at it obversely and question why what they're doing doesn't work. But no amount of studying will make up for practice. It is always the best case to get in there and start doing the things you want to learn about. I think a great way to truly start understanding color is to work with a bunch of similarily colored grays that just have slight hints of color. Play around with warm tones, cool tones, color harmonies, contrasting colors, and anything else you can think of. The subtle differences from the nearly monochromatic colors will really stand out, and you'll be well on your way to being able to apply color theory in more pragmatic work.
And here is my own quick study with what I just suggested. Obviously when all the colors are around the same saturation and brightness they're not going to convey much depth, but that's one way to learn important roles for each color. When hues are all around the same brightness and saturation they begin to create a natural depth, just by the way our eyes are able to take in certain colors better than others. I added a few darker pure grays to boost up the depth on the dinosaur heads. Something interesting is that only about half of the colors used on either dino head have an actual hue. The others are completely desaturated. What's interesting is that the neutral grays will pick up the hue from the colors surrounding it as well. So that the grays on the red dino appear warm, and those on the blue one appear cool. It's kind of hard to see it because I surrounded them in opposing colors, but the effect is there.