Posture. A lot of the characters are very upright and strong. That is very heroic, and normally that is something that I look for in my D&D art. In this circumstance though, this character is suppose to be beat down, injured, worn out...basically had all the 'heroic' kicked out of them. Make them slump, make them weary, have them supporting themselves, think of them about three steps away from complete exhaustion. If they look like they still have fight in them - they probably aren't very tired or desperate yet. I'd like to take a minute and highlight a few images that jumped out at me. Roger Bethke. I like the sense of "lost" in Rogers piece. Giving a character multiple options for where they can go emphasizes the sense of being lost.
The heavy black vertical shape cutting through the image bothers me though, and I've look at the composition. The doors could and cavern elements could help lead the eye around the image rather than just feel kind of arbitrary. Melissa Koch work at Coloring Pages website. Melissa is really capturing the idea of weary here. The weight is off to the side, she's holding herself up here. I don't really get the sense that she is lost though... Alexander Nanitchkov. Love the sense of despair, and the feeling that there is impending doom. The warm/cool adds depth to the image. I'd love to talk about many more, but I'm short on time. Take a look at your sketches again, and give them one more pass with the thoughts I mentioned above in mind.