Shading & Lighting
Once the basic textures were done, I put a standard material onto the model and started with lighting in Max (Fig.05).

Fig. 05
I used one skylight (hdri environment) and five omni lights with area shadows. The render was done with mental ray.
I created the materials for rendering with mental ray. I used SSS fast skin material for the head, gums, tongue and toy bear. For the other objects, I used standard materials with a mix of textures that I painted and prepared in Photoshop (Fig.06).

Fig. 06
Composition
In camera options I added Depth of Field (mental ray) for rendering. In Photoshop, I merged, the render image, Ambient Occlusion (in multiply mode), and center interest layer in normal mode) to add more atmosphere to the composition.
After this I played with the levels and the transparency in Photoshop to get the final image (Fig.07).

Fig. 07
Conclusion
In the near future, I hope start with mesh retopology, and apply displacement maps and the normal maps, to get a new version of this character prepared for rigging and animation.
Thank you for your time, and thanks again to 3DTotal for the support!
Cheers!
Fig.08 - Final Image