a sketch has no different layers,
so it's not possible to add shadows.
i've read on your blog that you just bought pse6, great decision.
i'm using pse5
if you look in tutorial section here
you'll find a lot of good tuts.
look at misty cato's
or ikea goodess
back to the sketch,
i don't use them as accurate as templates.
sure you can use the magic wand
and then go to layerspalette and make a copy of the selection
this way you can get different layers, like a psd template
which you can fill with whatever you want
and can change the order of layers just how you need it.