There is no specific way to draw anime. Everyone has their own style, and everyone has their own process. I'm going to be showing my process in achieving my style. This will be done in a digital program, but I'll keep the instructions possible for pencil and paper too.
First I draw a little wire frame:
When I draw, the elbow reaches the waist. The arms are about the same length, unless I just feel like making the forearm slightly longer. The same applies to the thighs with each other. I usually make the leg go from shoulder to hip, which makes for long legs.
Alright, now lets add some volume:
Now it looks like a robot. I like robots. Anyway, if you're using pencil and paper, erase your wire frame lines without erasing your brand new spiffy volume lines. If you're in a program, erase your wire frame layer from under the volume layer.
Here's where it starts to get a little harder, and where you'll be glad you used the wire frame and volume. Now, give this person skin:
The body might not fit exactly to the volume layer but that's fine. The volume is just a guide line.
Okay you can clothe it now:
Clothes can be difficult because of the folds. I'd post a tutorial about that, but I don't want to be misguiding since I can hardly draw them myself.
I don't really care what expression you put on your own anime character. In this I just spent about thirty seconds because I'm lazy. It'll turn out better if you're serious about it.
Whatever style you like. Shaggy, straight, curly, scene, whatever floats your boat.
All done now! And the end result:
If your end result is different, that's cool. I didn't put much time into this since it's just a basic tutorial not "How to Get the Best, Prettiest, Most Amazing Anime in Five Minutes."
Now you can shade however you like. I don't shade. Mostly because I suck at it. Just don't use your finger to shade because you get oils on the paper. I would suggest using a small piece of paper as your smudge tool. It works better because you can control the size of the surface you use to smudge. You can't shrink or enlarge your fingertip.