Step 4: Basic shading
Okay, now you've got your mask in place, so let's start adding some shadows. The first layer of shading (on a new Multiply layer, of course) should be broad and not very dark, so you can use a fairly soft brush. Just put down some shading over any area that's not directly in the light. Don't be afraid of overdoing it, you can always tone down the layer's transparency later. And of course, the shading for each new color should be on a different layer, with its own mask.
This is the time to decide where your light source comes from! Plan out your lighting conditions and stick to it. Sometimes I'll do a rough layer of shadows over the entire picture to get an idea of how things could/should look in the end.
If you have a tablet, your job here is easier because you can control the transparency of your stroke by how hard you press down. (This tablet feature can be turned on and off in Photoshop under "Stylus Pressure" in the Paintbrush Options.) However, if you're working with a mouse, you can also achieve the gradiation effects by setting the Brush transparency to a low value, say 20-50%. This way, you can layer your strokes and have areas with more or less shading. Another method, which can be used in combination with the above, is to change the Brush mode from Normal to Multiply--this will darken your colors with every stroke, much like applying a new Multiply layer with every brush mark.
Why not add shading with the Burn tool? Well, for one, to use that tool you'd have to work on the original colored layer, making corrections rather difficult. But what's more, Burn darkens a color very harshly and quickly, and adds none of the subtle tints and colors that makes a picture artistic. More on this in the next section.