You can produce a shadow against say, a wall or some other vertical surface, fairly easily. Copy the shape of the object you are adding into the picture and add it in as an adjustment layer (I think?) behind the layer with object you're adding. You want it to make the shape of the object a bit darker, and you want it offset to one side and down a bit so it matches the lighting of the rest of the picture. That's how I'd do it anyway.
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