Hello, and welcome to TSR!
That's a pretty good first sprite you have there, and I'd like to make a few suggestions to make it better.
I've taken the liberty to edit your original (sorry if I'm doing this out of turn) to show you what I mean:
I didn't redo the sprite completely, because that is your job, but I made it so you can get the gist of what I'm saying.
The first problem is your shading. You seem to know what shading is, because I see you attempted it on pokey's body segments. However, the shading did not choose a
light source. The light source is direction of shading that the sprite takes, where the colors closest to the source would be lightest, and the further away it is from the source, the darker it becomes. On the sprite I supplied for you, I chose the light source to be on the top right.
The second problem was the overall shape. The shape of the feathers on top were very good, I liked them a lot. However, the segment's shape was an octagon, not a circle. In order to make it a circle, in the size you wanted, you'll have to extend it out a bit, and round the edges. I find it easy to round out sprites if you keep placing two pixels on top of each other, and extending out. You can see how to make a basic circle in my example.
The third problem was AAing, or anti aliasing. AAing means rounding out the edges of your sprite. You can apply AA to either the inside, or outside of the border. In my example, I added it to the outside. The gray blocks act as the AA, and make the circle more...circular!
Now, moving onto the rest of your sprites:
In order to make an
exciting pokey, each of the segments with the fuzzy stuff coming out of it should be different. The way you have it there is so that all the segments are the exact same. Try changing it up a bit! Also, this is purely optional, I would change the body's outline to something other than pure black. Black outlines usually work, but I think it would look better as a different color.
I hope this helped you out, and I look forward to seeing you improve! =]