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This is one of the most time consuming steps in the whole
process. Before I got my drawing tablet, I was using
a mouse to do this and it took many hours. The
tablet cut the time almost in half, but it's still
pretty time consuming. It's also probably my
favorite step.
The pictures below illustrate how I do
the shadows:
  
On the shadow multiply layer, I select the area with the
magic wand tool at the same tolerance I use for the fill
tool (100% preferable). I then use the brush tool with
the settings 100% opacity, 1% flow. The color I have
chosen for this comic is a light earthy reddish tone. I draw in the
shadows using a back and forth motion rather like coloring
with a colored pencil. The low flow allows me to apply
the color in a smooth, controlled manner. However, as
the second image shows, I usually add a bit too much shadow
intentionally so that I can pull it back in a smoother
gradient. I go over those areas with white, same
brush settings. I switch between my shadow color and
white drawing on and thinning the shadows back until they look
the way I want them.
Then it's just a simple matter of repeating this process on
every single fill area in the comic. In the image
above, there are 9 fill areas. Astra's face, both
eyes, her mouth, her ear, her hair, her collar, and her
shirt. If areas form the same object, they can be
combined by holding the shift key and selecting them all
with the magic wand tool.
The beauty of the magic wand tool is, only the selected
areas will be effected by what you do with the brush
tool. It's like using masking tape when you paint a
wall. As long as I only have the face selected, I
can't color outside the lines. The program won't let
me. This allows me to get a nice crisp edge on all of
the individual fill areas.
In the second panel, I show the girls in the shadow of the
truck. Note that, though I have filled them entirely
with the shadow color, they also have darker shadows in some
places. This was accomplished by simply darkening my
shadow color and going over those areas again. This
creates depth and accommodates for reflected light from the
wall and sidewalk, which would still create shadows.
Also note that panels 3 and 4 do not show the girls in as
dark of shadow as the second panel. When I color the
comic, I try to think of it as a series of photos or a
movie. If a person were to take a photo of people
standing in the shadow of a moving van from a distance, it
would show them in shadow because of the contrast between
the moving van's shadow and the rest of the scene (in
sunlight). But if you were to put the camera itself in
the shadow of the van (like the vantage point used for the
last two panels), the shutter speed could be slowed to
get a better picture and it would not appear dark.
Likewise, in a movie, all subjects are lit for the best
effect, regardless of realism. In a night scene, the
director will usually still keep the actors well lit unless
they wish to create a scary or mysterious effect. So,
when I color my comic, I try to determine how best to
"light" my own characters for the desired
effect. Realism often takes a back seat.
The shadow layer by itself would look like this:
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