Do you use MS Paint? If so, it should automatically change in BMP. I keep it like that, then use iaza: Free Online Image Conversion - Simple & Easy Converter (Images, Graphics, Avatars, Anime ...)
and "add transparency". It makes the background transparent as well as converting it to .GIF. Going through that process shouldn't get rid of any shading. And make sure to use contrast to your advantage, too. The contrast on the dress is okay, but the hair shading almost blends together because there's only a subtle difference in colour.