I always shadow and highlight the base color, and I do it first, before laying in the camo colors. I may or may not do a generic shade on the colors, but that depends on the scale and pattern.
In 72nd scale, the above advice is the way I'd go, but don't go crazy. You don't need to shade each color, just use a generic shade color that will work with all the tones. Dark brown or black will do. But you'll need to be careful not to over do it. You don't want the shade to become another tone in the scheme.
Thin the paint out, as in a wash, but don't paint it as a wash. Instead, get a little on your brush and then touch it to some cardboard or something, to wick away a bit of excess, so that the paint doesn't run away from you when you touch the model surface. Then carefully paint in the thinned paint into the shadows. You can thin it a little more for lighter shade, if room permits. Not a lot of room to experiment in that scale.
I'd also consider painting the colors in acrylic and then shading with thinned oils. That way your shade color won't eat into the camo colors.