Four equally-strong light sources is going to be difficult to work with. Maybe you could replace them with one big white one up top (or a disco ball!), and some little coloured ones around the sides, or little uplights on the floor, to provide colourful highlights.
Alternatively, you could have one of those illuminated disco floors with coloured panels. It gives you an excuse to throw down some lines for perspective too.
Maybe you could have two big spotlights (like what you already have but half as many) and have one for each character - have the yellow-ochre light shining on Sid and the purple light shining on the other character, maybe.

I'm not sure what's going on with their legs/feet. It looks as though Pink Leopard (I don't know the character's name) is about to stomp on Sid's foot (and her toes are tangenting Sid's knee), and she has quite an indecisive line of action.
Did you draw the bodies before drawing the clothes on top? I can't quite tell if PL's right/stage left leg properly joins to the rest of her. The skirt cutting off the leg right at the joint is possibly part of that - any limb cut off at a joint (whether by the edge of the picture or by another object) usually looks odd. Sid's left/stage right leg also seems to kind of disappear.
How invested are you in the picture as it is? If you want to go all out on it, I think it would benefit from stopping now and re-drawing it using more references to construct the poses. If you'd rather leave it mostly as it is, I would suggest moving the characters further apart and redrawing the legs that are in the air.

Heads up: PL appears to have a chunk of arm missing where you forgot to paint that bit in behind her hair.

For a background, maybe a crowd scene using silhouettes (just the nearby ones with outlines picked out a little using the coloured lighting, and everyone else can be just a blackish mass), or some ware'ouse struts and girders (straight lines, maybe easier) with chains lying around/hanging from rafters.

You're brilliant - thanks for the in-depth crit. I think a disco-light-up floor would look ace, I'll have a go at that. You're right about them being close together too - I've got the original lines in PSD layers so I can twiddle with that. The legs are a bit messy, they need a good re-doing.

Cheers dear - I'll have a good go at re-doing it and upload again :)

Snow leopards! :D

SNER LERPERDS

Hmm.... As far as anatomy and stuff goes, the person above me pretty much covered everything, but i can suggest a way to shade it: add dark shading to the underside of everything that would be in the dark, then then you've done that colour the lit parts respective to what colour they're being lit by.

Also if you've got lots of time to do it you could try cell-shading/lighting it to get an idea of what bits would be lit/dark, then soften it up later?

Cheers dude - I might get round to fixing it up this weekend, I'll bear all this in mind! :)