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12. Object shadows -- make a new layer, and then group it (command-G). This will contain all of the shading for the leg. Make sure this group is below the sketch in the layers panel. Use the magic wand on your sketch object or use the lasso tool and get a rough outline of the object (it doesn't have to be perfect). After selecting, the select>modify>expand, contract, and smooth tools are useful to clean up.
(I also added another layer with a black gradient in a same method as step 7 -- this will help the highlights "pop" later on).