(*Not my sketch, but very similar to how I work.*)
It's ok to sketch lightly to build up your object. As you start to define your object you get a little heavier with your line weight. (See the second paragraph for more detail.)
This is how I was taught to draw. Although it was tough at first the basic principles can help everyone. To get real good depth in a drawing, try not to shade everything in. Consider the blank color of the page as your color of the object and work from there. So note in the drawings above as to how it's done. Only the areas of the shadows are given attention. Also note that when there truly is a dark area it is shaded heavily to give strong contrast amongst the composition.
The other thing to work on is your line weight. I'm talking specifically about the lines that are used to make up the form. It is often overlooked but can also give depth to a drawing. Portions of the object that are far away should have light lines. As the object gets closer, the lines should be heavier.
I was taught by some old japanese guy in college. All I did was draw lines and circles for HOURS. I reccommend you do the same. Focus only on your line weight and drawing a straight line. DO NOT draw with your wrist. Draw from your shoulder. The best way to learn this is drawing on a tall table standing up. Once you get that stuff down then move into drawing objects. If you have any questions just post it up an I'll help you out.