That's it. Now you can manipulate your color and shading layers independently. Adding subtle textures as layer styles to your base color layers can break up the monotony of flat color. Also, since they are layer styles you can make changes down the line if you want.
At this point you could also insert drop shadow layer styles to the independent base coloring layers and tweak them to match the objects that are casting them.
If you want more control of your shadows though you could either paint them in on a lower layer with a soft airbrush or start with the drop shadow layer style and edit it with an airbrush. The best way to do this is to create a layer beneath the art layer that's actually casting the shadow. Control-click the art thumbnail in your layers palette to create a selection outline that traces the edge of the art. Contract the outline by 1 pixel and fill with pure white. Since this is on a layer beneath the art you shouldn't be able to see the white, but just in case, set the layers blending mode to multiply. At this point you can use this layer to create a complex layer style drop shadow. Once you've got a drop shadow you like, create a new layer with nothing on it and merge the two. You'll have to reset the new layers blending mode to multiply but now you can erase and add to the drop shadow with your paint brushes like any other art layer. The idea here is to save time by using a layer style drop shadow but also to be able to manipulate it with brushes after you've got its basic form down. By working on a layer separate for the object casting the shadow you also don't have to worry about damaging the object while painting or erasing shadow details.