To create texture & depth, you can use many different kinds of pencil strokes, including cross-hatching, etc. And also use light & dark areas, tones, etc. to show depth. You will find many techniques, tips & tutorials for the same :
http://www.google.co.in/search?client=opera&q=how+to+create+texture+in+sketching&sourceid=opera&ie=utf-8&oe=utf-8&channel=suggest
http://www.google.co.in/search?client=opera&q=how+to+draw+realistically&sourceid=opera&ie=utf-8&oe=utf-8&channel=suggest
As for colour, you could continue with the grey for overall creature body. But add touches of color eg. red eyes; blue or green tinted edges to the body where the light seems to fall; steel blue/red/yellow talons; & so on. Choose what you want to highlight & what kind of "story" you want to narrate through it's actions & then select colors/highlights.
And as one of the posters suggested, add some background details too. If you don't want it too detailed, you could simply have some bold pencil strokes to represent a street or road .... along with the creature's shadow.
http://www.art-class.net/art-site/learn-to-draw/learn-to-draw.php
http://www.dummies.com/how-to/content/drawing-light-and-shadows.html
Check out http://www.dragoart.com/ for various techniques, styles, tips, etc. too.
Hope these help
Happy sketching :-)