How do I stop my stitches from sinking into needle felted work?

Two seprate problems going on here, so I'll take them one at a time. For stitches sinking into the surface, the fix is ussually to give them somethig to sit on rather than trying to change your tension. A scrap of fine tulle or organza laid over the felt and pinned snug does this really well. You stitch straight through the netting and the felt togehter, and the net holds each stitch proud of the surface so the shading reads properly. When you're done, pick the net away from around each stitch with a pin or tweezers and it releases without disturbing anything. Muslin would work but it's heavy and it would definately fight you on the pear keeping its shape. The tulle weighs almost nothing and the wool doesn't even notice it's there.

Thread choice matters too. Cotton thread on wool tends to disappear because they don't grip each other. A wool-blend thread or even one strand of crewel wool bites into the fibres and stays where you put it. Same strand count, way less chunky, and the slight fuzz of the wool actually helps blend your yellow into green. For the sagging, don't keep poking it back into shape, you're just felting yourself a bruise with every poke. Rest it in something that supports it while you work. A small cup or jar works, or a beanbag made from a sock filled with rice. Support around the shape, never hold the area you're stitching, and handle it by whatever part is done and can take it.

Can you firm it up now? Honestly, not really, not without wrecking the stitches you've already got. Steaming and pressing would full the wool a bit but it'll distort what's embroidered on there. If the lean really bugs you, finish it, then do targeted needle felting from underneath or behind to push the sag back out, working around your stitches instead of through them.

Next time round, felt the base a lot firmer than feels natural. It should feel almost dense before you call it done, because it always softens once you start working it.

The thing that saved my felted mushroom was layering. I felted a loose core first, then added a thin outer layer of wool and worked that til it was dense, so the surface was firm but the inside still had some give. Stitches sat on top way better and the shape never budged. Might be worth trying on your next pear even if this one stays a bit lean-y.

Also, short stitches helped me a lot. Long and short was sinking straight down no matter what, but once I kept everything small and worked outward from the stem, the shading read fine even on the soft bits. What needle are you using? I found a finer one barely left a dent where a thicker one kept punching a hole.

That lean happens to everyone, I've had a felted robin keel over so bad halfway thru I nearly bin it. Mine sat on a rolled hand towel for the last four hours of stitching and it never moved again. One thing I'll add for the shading itself: angle your stitches into the cheek rather than against it, so the red catches the light the way a real pear does. I ran mine at maybe a 45 degree fan from the stem outward and it read way more three dimensional than straight rows ever did. Also try a single split stitch outline in the darker green first, it gives the surface a bit of a spine to hold the shading against.

Your thread sinking in reminds me of doing shading on velvet back in the day, same problem, pile swallows the stitch. The old fix there was couching, lay the thread on the surface and catch it down with a tiny straight stitch. Works a treat on soft stuff like felt because the thread never has to fight the wool at all. You can couch two colours side by side and blend the edge with your needle tip. Slower going, mind. Did my felted toadstool caps that way years ago and they still look sharp. Worth a trial on one small patch before you commit the whole pear.

Agreeing with the tulle idea, it worked for me on a felted toadstool cap last autumn. One extra thing I found, use the finest needle you can get away with when you stitch through the net, becasue a chunky needle punches too big a hole in the felt and the wool just swallows the thread again even with the net on top. I dropped from a size 7 to a 9 and the difference was night and day. The little holes closed right up round the thread and nothing sunk.