I would simply pick a slightly darker colour (you can even use a colour from their environment too, as any colour on a multiply layer will become darker) version of their fur. On a new layer that's set to multiply and using a soft-edged brush, I would colour some basic shaded shapes and would keep it fairly minimal/simple. Similar to this fan-art here (not my image,, or any TLK screengrab really): http://images2.fanpop.com/images/pho...4-1000-750.jpg
You can then lower the opacity of the layer to let the fur colours show through until you get the shadow strength you want.
I hope that made sense