Shading with the Lasso tool

Working underneath the Gradient Map adjustment layer, I create a new layer and use the Lasso tool to draw the shape I want to shade in. I then fill the selected area with grey, soften the edges of my fill using Gaussian Blur, then set the Layer blending mode to Multiply and adjust the Opacity. I make a new layer for each area I want to shade in, and build up my value structure.