Generally their skin will look different - cloudy and dingy or greyish compared to their normal colouring. He may also stop eating as much as he used to or behave a little differently when he's shedding.
Mine will rub their heads on rocks and things. Walter will eye bulge and puff his beard out to try to get things going. As others have already said, dull milky, or greyish skin is a good sign as well as lack of, or spotty appetite. My girls will hang out in their hides more also. Good luck.