Cheeks - from ear to middle of cheek, following the line of the bone
Nose - along sides, a little under tip
Chin - along jawline
Forehead - in a diagonal from top corner of hairline to inner eyebrow, and then following the line of the eyebrow out (I found this really interesting, and it helped to balance out my pointy chin.)
Eyes - along socket, and then in a line in inner bit, near the nose, up towards eyebrow and, if you like, down towards side of nose. This gives a very strong and graphic look.
Of course, you don't have to do everything all at once - you can just pick the bits you want to shade. The lighter/closer to your natural skintone you use, the more subtle the shading will be. Amanda, my MA at the event, recommended starting off with a little product and blending well, and then applying more for a stronger look if you want to.