I made another layer over the base shading, and set it to a second shading layer (on top of my lines and color layers). I set this layer to Multiply, then select just the character with the select tool, then use the gradient tool (my favorite tool in PhotoShop, lol) to make a gradient of the shadows. Does that make sense?
For the base shading layer I just use a brush with soft edges and erase the bits I don't want with an eraser with soft edges. ;3