I would suggest creating a unit with locust and no model, and then picking a good shadow shape in the Object Editor. Then you can place them on the side of the dungeon and resize them to fit into the dungeon paths. That way you can cover the entire dungeon in shadow. Then you can also use some lighting to brighten up certain spots.
I am about 40% done right now. I do have 1 question: do you know how to make certain areas of a map darker, as if it's inside a cave? I got one underground dungeon, but I don't want to use global fog effects to darken it.