Thanks for the tips guys. I tried to export 'alpha shadow' in sketch-up but I don't think it is supported. The 3d layer in PS (I use CS3) also doesn't seem to support shadows. Anyone got experience with CS4? (it claims 'better 3d support' so maybe also shadows...)

At least by making simple models in sketch-up I learn how these nasty shadows behave then copying them in PS as starting point. Hehe, I seems shadowing needs some good ol' fashion handwork