I like the art style. It would fit well into an rpg. And for a first sprite it shows nice drawing abilities.
Position of the shadow is important, especially if other beings appear side by side. Their shadows must follow the same light source, or it'd look strange.
Right now it looks like the light is positioned very low, about neck level in front of the wolf, lighting his front body and his belly, plus the inside of his legs.
To soften the change of colour from his fur to the shadow, pick a few in-between greys, and place them along the shadow line, as a transition. You can do that on a few other parts, like where the leg switches from white to grey.
Also keep in mind that if the shadow's colour is much darker than the fur, it gives the impression of a bright light hitting the object in a dark environment. If it's not dark outside but bright midday, the shadow shouldn't be too dark. You can try some lighter colours for the shadow part to test which one you prefer.
But your style has a likeable look, I'd feel bad to kill that poor thing.

*wolf-cry*.