You must start with a complete dress shaping, such as the one below.
This is only one methode for shading, there are many others.
I supposed you're a "medium user" of Photoshop.

SHADING UNDER PHOTOSHOP 7

 

1. Choose 3 different shades of the same colors. Color the dress as the example :
- lighter color for the majority of the dress.
- medium for the creases.
- darker color for the back.
 
2. Create a new layer for the shadows (Here the "layers" window is called "called" as I have the French version of Photoshop).
 
3. Choose a color a little darker then the one you want to put the shades on.
 

4. With the "Pen tool", start to put the little darker color on the doll. It's hard to tell you where to put it exactly, as each doll is different. Just try to be logical. Remember to draw ON the "shadow" layer by selecting it in the layers list (see step 2 for the list).

Repeat this operation for each one of the 3 different bases colors.

 
5. In the end, you should obtain something like this.
   
6. Create a new layer for the lights.
 
7. Choose a color lighter than your base color.
 
8. With the "Pen tool", start to put the lighter color on the doll. It's hard to tell you where to put it exactly, as each doll is different. Just try to be logical. Remember to draw ON the "light" layer by selecting it in the layers list (see step 2 for the list).
 

9. Come back on the "shadow" layer, and select the "finger" tool.

 
10. Use it to make your shadows bluring. You don't need to be very precise, don't follow the lines. We will deal with that later on.
 
11. See? The shadows start to be right.
Now, repeat the operation for the lights, on the "light" layer.
 
12. Now the light looks good too.
 

13 a. Now you'll have to assemble "lights" and "shadows" layers.
- Select the upper one on your layers list (for me, it's "light". You can see it on pictures of step 6 and 9).
- Look at the picture above. In your menu, chose "layers" ("Calques" here), and the command : merge with inferior layer. (Or something like this. The difficult thing is that my software is in french. For me its "Calques/Fusionner avec le calque inférieur").

13 b. Alternative way if you dont find the command :
- To assemble the two layers, select the upper one on your layers list (for me, it's "light". You can see it on pictures of step 6 and 9).
- Press "Ctrl" and the letter "E" alltogether.

Now you only have one layer left. Mine is called "shadow".
 

14. Now we will clear the edges from the bluring. That prevent white squares to appear wen you save your doll.
To do so, select the layer on wich you drew the clothes of your doll (mine is called "robe"). And choose the magic wand tool.
 

15. Click anywhere with the magic wand, except on the clothes so that everything that is NOT the clothes will be selected.
Then, choose the "shadow" layer on the list again, as above.
 

16. Clean the edges by cuting off the bluring effect. (Press "suppr" or "ctrl+X")
   
17. Put the leg in the front... and here it goes!