WIth the holes I would suggest just making another layer under whatever you've got and just fill it in lol. There is no real cell shading tutorial for PS or any other application. There is no real cell shading tutorial either. You can just about shade it in any way you like.
Very nice clean vector by the way. The hand looks a bit strange though. Might work with an extra skin tone to define the knuckles... but then again it gives the vector a bit of character X-P Nice work!