Firstly, what is a shadow? A shadow is a place where the direct light doesn't reach. It still gets reflected light, but something else is between it and the direct light source. It can be a person's nose or chin, a layer of fabric (as in a wrinkle or fold), even a table or chair.
Because a shadow is just darkness, to make shadows you just darken the colour. Similarly, to make highlights, lighten the colour. Any art book can help you decide where to put shadows: yes, even books about painting, pencils, collage - it doesn't matter that the exact method is different, the ideas are the same.
So what methods can we use in digital art?
Dodge/burn is popular. I use it rarely, I prefer to put my shadows on a different layer so I can adjust transparency.
(Though dodge/burn on a copy of the layer, then 'select by colour' to remove all the untouched colour can do that.)
Overpainting with different shades of grey, or with darker and lighter shades of the base colour, can work. Use any tool: pencil, brush, airbrush, anything. Even the eraser (over a dark or light underlayer) can work well.
Some people put their highlights and shadows on different layers.
Using gradients, drop shadows, lighting effects, or other similar tools works well too.
I've undoubtedly missed some.
Now, the next part of the question is: what type of shadow are you after?
The shadow underneath prominent parts of anatomy (such as the darker region under breasts, under the butt, or in the crotch) needs to be fairly subtle.
The shadow inside a wrinkle of clothing or a fold of curtain varies, depending on the transparency of the fabric, and on the texture of the fabric. A shadow in a sheer fabric needs to be faint (because some direct light does get through). A shadow in a deeply textured, matte fabric like velvet needs to be very dark. Something silken, satiny, or shiny like patent leather will have a dark shadow, but the highlight near it will be very bright.
The shadows on a venetian blind will be hard edged and very dark. The shadow beneath a fold of a fuzzy fabric will have a fuzzy edge, and will be lighter near that fuzzy edge.
Does this help?
If not: hopefully this will at least help you refine your question. A simple 'how do you make shadows' is either a really broad topic, or can be answered with 'you make the shadow area dark'. Which isn't entirely helpful.
