Dioramas are wicked cool for artists trying to become more adept at sketching animals. First you can get really close to the animals and they don't try to eat you. Bonus right?! Second the critters stay freaking still totally unlike the caffeine hyped squirrels that hang about the city park system. Thirdly museums often have skeletal elements from the diorama animals in their collections which can often help figure out fur obscured body elements.
All that said, I spent last night drawing from the dioramas of the Academy of Natural Sciences after hours. Sketching at the museum is a great way to spend time and to get your skills going. I spent most of my time in African hall avoiding the animals I have drawn before.
I do like to sketch in ball point pen so you can still see mistakes and the history of the sketch. The first lines and often the lightest are the basic shape or sketch map. Then I work quickly shaping the animal or animals in greater detail as I go. Shadows can be handled very loosely or you can layer hatch marks or lines to gradate shadow and ball point pens work well for both.
That is all I have for now. Enjoy!