You're talking about shading your texture right? You're not talking about adding shadow to texts etc?
Adding shading is just like with pen and paper. You use your mouse/tablet and simply use a dark colour with low opacity and paint over and over until it's shaded like you wanted it.
I strongly advice you to apply the shading in a new layer, so that you can easily get rid of it, adjust opacity and/or generally change it. Then save the .psd file (to keep the layered version so you can easily go back and change things) before you 'Merge Visible Layers' and save it as .tga .. and then you know the rest.