well, if you have a new layer, that layer should technically be transparent... so when you add the grey you'd be using a paint brush and tracing the parts like the underside of an arm, below the chin-line, places that would naturally be darker. Another technique for shadows would be to create a new layer via copy and use the dodge and burn tools. dodge fades the color, while burn darkens it. also can be fine tuned and use any paintbrush (soft, hard, 3, 5, 9, 30, 500, etc) that you so choose. either choice is purely preference.
Summer Heat
Also, you're going to want to use the Magic Wand to select the area to shade/highlight. That keeps the shadows from creeping out over the background... it also allows you to use a bigger brush with the airbrush effect, so that the shading gradually fades from the darkest point (at the tip of the brush), to transparent along the edges.
Technically you don't have to do this, but I find it saves a lot of time from erasing.
Examples.
The first bar is just red.
The second is with a Multiply'd layer of black over the bottom, set at 65% opacity.
The third is with both black on the bottom and white on the top, set at 65% opacity.
The fourth is using the Burn tool.
The fifth is using the Burn and Dodge tools.
In each bar I just used the Magic Wand to select the red bar I wanted to work on, and then did what I needed... no erasing neccessary. 
What I do to erase those annoying stray shadows and stuff, is to use the magic wand tool outside the lines on the lines layer, expand the selection by a few pixels, switch to the shadows layer, and press Delete on the keyboard. 
Hello. I'm starting to do stuff like shadows for my drawings via photoshop, but I don't even know where to begin. All I know is I make a layer above the colors, set it to Multiply, and get a grey. On what do I put the shadows on? Where do I put them on those selected areas? Any help regarding shadows, light, colors other than flats, etc would be greatly appreciated
Thanks
-BAS-
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