How to create shadow with colored pencils. First, on the line sketch, lightly mark the shapes of the contour shadows on the object -- say you're doing a milk pitcher on a table. The pitcher has contour shadows, one big complex one that's a line between the light side and the dark side, plus a cast shadow on the table next to it.
Now, look at the real objects or look at your photo reference for the exact color of the shadows. Very often the light will be warm and golden if it's incandescent light. Your shadow colors will probably lean toward its complement, blue-violet. Look close at where the shadow's darkest and where it fades off. Layer violet, blue violet, gray or grayed violet, maybe even a little green and then some red-purple to make a rich mixed shadow color. It may be bluer in some areas and grayer in others.
If, say, your milk pitcher is yellow, some of the color will reflect into the shadow for a warm yellowish area that might need yellow ochre or a warm light brown shading off into the blue. Shadow colors are unique and a mix of everything.
Generally their colors are from the cool side of the spectrum though -- blue, green, purple.
If you follow through on say a red table cloth with a yellow pitcher, glazing over it with purples and blues and grays, it will still read as a red tablecloth even if the mixture in the shadow looks more like a brownish grayish dark purple. That's the beauty of it.
One thing I do in all landscapes to strengthen the sun is that after doing my modeling and cast shadows in whatever color they look, maybe blue-green on grass or violet on the grass or just very dark green -- I will burnish all the highlight areas with Cream and all the shadow areas with Lavender. This does not change the local color enough to matter, but it makes the light look stronger.
A couple of centuries ago most painters used cool light with a pale bluish cast (like a fluorescent light, which is what daylight looks like at some times of day in northern climates) and warm shadows in browns. These paintings looked fine because they were consistent. In a cold light, fluorescent light, you will get warmer shadows and some browns in them will make them look more real.
It's a complex, interesting topic and I may well do an entire Hub on it. But right now I hope this helps. The only simple recipe is in snow scenes, usually shadows are bright medium blue, maybe violet leaning blue.
