Now we need to add realistic lighting to our scene. We can either simulate lighting or use "real" illumination. I personally never simulate lights, but if you want to do so, you can manipulate the "specular power", "translucency" and "specular colour" attributes in the "Illumination Attributes" section, under "Texturing".
About the shadows: We can simulate shadows, instead of calculating them. This can be useful for large scenes where you want to minimize rendering time. Also, you must use Depth Map shadows (not Ray-Traced), because only Depth Map shadows generate shadows for Paint Effects. Of course, you could always convert the Paint Effects to polygons and use ray tracing, but that would result in a very heavy scene.
Use these settings for shadows:
Turn on "Cast Shadows" in the Shadows attribute
Use Depth Map shadows - NOT Ray-Traced
Turn off "Use Mid Dist" in your light attributes - otherwise you won't get any shadows
You can improve the quality of the strokes by checking "Oversample" and "Oversample Post Filter" in the Render Globals panel