Get the pen tool and get busy, i get very fussy about selections so i spend quite some time. Notice that the little holes in the framework are also cut out.

When you have the selection, make sure to make it in to a channel or save the selection for future reference, it can come in handy with masking.

When you have the cut out, press ctrl-t and rote it and try to find a point of interest. When i had it upside down it remided me of a head, so that is where it started.

Scaled it, rotated it and masked out the unwanted parts (arrow)

Then i pasted in the shoulders, and the idea was born. I continued in that order:
Shoulders, body, legs, and arms.
It's all a matter of scaling and rotating to find the best parts. Never used the clone stamp on this one. Arms and legs are made out of 3 chandeliers each, And they are all the same. So i basicly made one leg, and copied it four times. The group in my layer pallete are identical, only the scaling differs. (and i distorted the right side a bit)

Then you got the complete robot. Start to fine tune the masking, look if there are no seems or blurry spots.

Nice detail is to play with the curls, mask one over another so they intwine.

Now on to the shading and highlights

Group your robot, select the group (disable all other layers) and press ctrl-shift-alt-e to make a merged copy on top of the stack of layers.

Ctrl click the layer icon to make a selection and on a new layer paint black with a opacity of 50% on your brush. The selection makes sure that you don't have to worry about the edges, and this part you do on feeling. Darken op the unlit side and look at the shapes on the robot. Dont worry if it turn out to black, tweak the opacity of the layer and preferably set the blending mode to multiply. And presto, shading.

Same as before, but then with highlights. Select the robot outline, make a new layer and paint with white.

Highlight can be very bright, so set the opacity of your brush back a little and make it smaller. Start with the glowing edges and finish of with a nice bright dot on those points that need it. After that set the blending mode to screen and tweak your opacity.

Again, this is done on feeling, zoom out every now and then and look at it. It's always fixable and dont be afraid that it's to dark or to white.

When you use your model in another background, it's better to do this step later, but it's easier to show it here so creating the drop shadow.

I selected the robot and made a new layer. Fill the selection with black and distort. (in a background look at the lights and try to imagine where it would end up.

When satisfied, accept and blur it, make it nice and smooth with gaussian blur.
Copy the layer and put it on top of the first one.
Make a layer mask (on the first drop shadow layer) and fill the top end of the shadow with a white to black gradient to make it fade out.

Set both layers to blending mode overlay or soft light and tweak the opacity so that you get a nice fade and a soft shadow.

In the image my shadow is still quite dark, but that will be fixed with opacity

Using the elliptical marquee tool i made an ellips underneath him, filled it with black and used gausiian blur to make it soft.

Layer blending mode will be overlay, and then tweak to opacity so that you can barely see it, a little lighter then the drop shadow. It's just to indicate a 'presence' there, to achieve more realism.

Last one on the robot, a contact shadow. To indicate that the robot is there, and touching the ground, i made a contact shadow right where he touches the ground. Very subtle and light. I used 100% black, and then use the opacity to set it to my liking. These may be dark, it looks more real that way.

Lastly i pasted the robot in the background, fine tuned the shadow/hightlights to fit the scene.

I also added two color overlays and a darker frame around the whole.