Download and open in Photoshop the first lamb photo, I used the size 2690px * 2231px. In order to create a bunch of future layers, we need to separate lamb body from white background. Choose Magic Wand Tool and click in the white area. Then activate Quick Mask Mode and correct body contour with small black brush.
Press Quick Mask Mode again to return standart selection mode after corrections. Go to Select > Inverse, then choose Select > Refine Edge. Apply following settings, to make selection contour smoother.
Copy selected lamb body and paste it in the new layer two times. We will use second copy later, you can make it invisible. To make lamb's skin darker and increase contrast between body and light color underwear, apply following levels settings to the first copy of lamb body. You may go to Image > Adjustments > Levels or create Adjustment Clipping Mask, just like on the screen shot. Adjustment Layer helps to change setting many times without losing original layer settings. If you prefer adjustment layer method, click icon in the bottom menu of the Layers Palette, choose adjustment layer ("Levels" in this time), apply settings, then right click to adjustment layer and apply "Create Clipping Mask". Use the same way to crate adjustments layers in the future steps - "Gradient Map", "Black &White", etc...
In order to make darker only skin area, process Adjustment Layer Mask with black soft brush in the marked spots.
Make visible the second copy of the lamb body. We will use this layer to create patterned underwear. Apply Gradient Map and Levels adjustments to it, you may find settings and result of retouch corrections on the examples below.
Extract pajama shape from the lighten body. Add Layer Mask and fill undressed areas with black color. You may use Brush Tool for the legs and tail. Create path with Pen Tool to outline neck area. Press Command/Ctrl + Enter to load selection, fill selected area in the Layer Mask with black color.
Create a new layer, fill it with any color, set Fill = 0%. Apply pink heart pattern. The scale parameter depends of your document size, move scale marker while you get similar result like on the screen shots.
Merge patterned layer with the new empty layer, apply transformation and fit the pattern with pajama shape. Choose Multiply Blending Mode and Opacity 28% for this layer.
In order to create volume effect for the pattern layer, use Liquify filter. Filter > Liquify. To preview only body shape and see result of your actions, check "Show Background" box, find lamb body layer in "Use" drop down menu and choose "Behind" Mode. Touch stomach and other bulb areas with Bloat Tool . Then choose Forward Warp Tool and process pattern around body contour. Make moves with from outside to center. Play with brush size parameters.
You should have something like this.
Find the layer with white pajama (extracted part from the lamb body) and load selection for the Layer Mask. Command/Ctrl + click Layer Mask thumbnail. Then erase selected area in the pattern layer.
Create seam contour with the Path Tool , correct points and path shape with Convert Point Tool. Then make active Brush Tool and set size ~14 px, don't pay attention to color settings. Return to path Tool, right click to path and apply "Stroke Path". Don't remove created path after this action.
Set Fill =0% for the white stroke layer, apply Bevel and Emboss and Gradient Overlay styles.
Choose 6 px Brush Tool and make active seam path again move it little bit left and down. Create a new layer. Apply Stroke Path like in the previous steps, but in this time it should be thinner.
Set Fill = 0%, apply stroke pattern effect.
Create ridge piece of fabric. Make path like on the screen shot with Pen Tool . Click Command/Ctrl + Enter to load selection, fill selected area in a new layer with linear gradient, use light and dark brown colors.
Create a new path. Click Command/Ctrl + Enter to load selection. Move selection to the lighten part of the pattern. Go to Edit > Copy Merged. Paste copied piece of fabric.
In order to create shadow effect, duplicate first white stroke layer. Apply to the bottom copy Multiply Color Overlay effect, keep Fill = 0% for this layer. Move this layer little bit up, like on the example below.
Apply Gaussian Blur Filter. Then Load selection for the original stroke and cut out selected area from the shadow blurred layer. Clear selection and erase shadow layer with Eraser Tool under top fabric edge and round fabric corner.
Use the same way to create other seams. For the new seam from the screen shot apply drop shadow effect.
For the legs border use more solid light color, just apply Screen Mode in Gradient Overlay style.
One more seam above pattern layer.
Use different gradient effect for the neck border to create volume effect.
To create button shape use Ellipse Tool . Then add four small round selections, created by using Elliptical Marquee Tool (choose Add to selection option). Erase selected circles from the big button shape.
Add following layer style effects to "button" layer. You may find the same gradient in Photoshop preset "Spectrums" set.
Draw crossed threads with Line Tool in a new layer. Hold the shift key down to create angle 45 °.
Make a new layer and cover front legs area with white (background) color, you may use Brush Tool.
Insert another lamb image above all created layers. Separate lamb body from background using exactly same method as for shaved lamb. Move second lamb figure to combine front legs position with original lamb image.
Add Layer Mask to this layer. Erase back legs and head with black brush.
Find textures brush, you may use preset "Texture 6" brush from "Assorted" brushes set. Apply "Shape Dynamic" settings like on the screen shot to make the brush more unstructured. Process erased edges with textured brush in the Layer Mask to create hair silhouette effect. After this action, apply layer mask, right click to Mask thumbnail and choose "Apply".
Duplicate created "fur coat" layer and make the copy temporary invisible, we will use it later to create second part of the coat. Transform first part of the coat using Liquify Filter. As in the example with pattern layer transformation, find shaved lamb body in "Show Background" options. Indent collar area and create wrinkles in bottom edge with Forward Warp Tool .
To make curled edge of the collar, create path like on the image below. Load selection (Command/Ctrl + Enter).
Cut out selected part and paste it into a new layer. Go to Edit > Transform > Flip Horizontal. Then rotate shape to find position like on the second screen shot.
Apply Warp transformation to this shape. Move points and handles to align subtense with coat edge.
Make this shape lighter using Levels Adjustment Layer.
Load selection of created shape, Command/Ctrl+Click layer thumbnail. Create a new layer below selected shape. Fill selected area in a new layer with dark brown color and apply Gaussian Blur filter to it (around 3-4px). Move blurred dark shape little bit down and left like on the second screen shot. Apply Overlay Blending Mode to it and Opacity 45%.
Then merge "Fur Coat" and curled edge layers and process marked edge with Eraser Tool to create flocky hair effect. Use textured brush like in Step 29.
You should get something like on the image below.
In order to create "fur coat" border, create a path as on the example below. Command/Ctrl + Click to load selection.
To make shadow from fur, load selection for "fur coat shape" and fill it with dark color in a new layer under selected shape. Apply Gaussian Blur filter (around 4px) to dark shape. Move the shape left on several pixels. Apply Opacity 20-30% for this layer. Erase shadow layer outside the coat border.
Find and make visible copy of lamb's fur layer. Move this layer below first separated from background shaved lamb body.
Open Liquify filter window. Make visible in background options bar only already corrected fur shape, choose "In Front" Mode.
Use Forward Warp Tool to join collar edges and create smooth collar line.
Make the second part of coat darker using Levels Adjustment layer.
Create extra one empty clipping mask layer for second fur shape and touch it with large soft, brown color brush. Apply Multiply Blending mode to it and play with Opacity setting.
Create Black and White adjustment layer above all created layers, Apply Screen Blending mode to it and following adjustments.
Find "Fur Coat" layer and load selection for it. Go to Select > Inverse. Make active "Black and White" adjustment layer Mask and fill inverted selection in the Mask with black color. The image except top part of fur coat should have original colors (look at the second screen shot).
Then load selection for the second part of the coat and subtract from created selection lamb body shape (Command/Ctrl + alt + click lamb body thumbnail). Fill "Black and White" layer mask selected area with white color in this time. You should have "Black and White" adjustment layer effect only for both parts of coat shape. Take soft white brush and process Layer Mask in the head and back legs.
Create a new empty layer, add Layer Mask to it, the same as for previous "Black and White" adjustment layer. Load selection of adjustment layer (Command/Ctrl + click layer thumbnail), Inverse selection and fill new Layer Mask with black color in inverted selected area. Choose textured brush, you may use one of preset brushes from "Natural brushes" set. Draw chaotic spots, the layer mask should keep the areas outside the fur clean. Apply Soft light Blending Mode and Opacity 70%.
Create white spots in a new layer. Apply Soft Light Blending Mode for this layer too.
Create several paths to make zip slider. Fill them with color in separated layers. For the first shape choose Rounded Rectangle Tool , apply Perspective transformation for the bottom edge. Edit > Transform > Perspective.
Create second rounded rectangle shape with one step. And apply some transform actions to the third one: Perspective Transformation > Add couple of new points with "Add Anchor Point Tool" > Move crated points to the center of the shape.
Apply following layer style effects for the created shapes, but use different gradient for the second shape.
Create a new path for the zip line. Apply 9 px white brush stroke to it. Use the same method as in Step 11.
Select white line and draw regular black spots with 18 px black brush. Apply Opacity 75% for created line.
Add Drop Shadow layer style effect to created zip line. Repeat previous actions to make second zip line.