Step 4 - Beginning shadows
Remain on the upper hair layer and click on the burn tool. I've set the radius to about 65 (a soft brush), the range to midtones, and the exposure to 50%.
Proceed to shade the area around the part of the hair.
Switch to the lower hair layer and do the same. This should be made to be a bit darker than the shading just done on the upper hair layer.
Lightly shade the tips of the hair with the burn tool as well.