Layer effect "Cast Shadow" works quite well, as SamTherapy said. The shadows will then be a dependent part of the hair layer..which can be useful.
Personally, I like to create a whole new layer (Copy layer, select by layer transparency, fill with a grayish tone...) in order to do further manipulations that are separate from the hair layer... like 'moving' the shadow in places, to follow the 'surface' of the skin, rather than have it track the hair at all points.
But it's up to your preference/abilities. The main point I really wanted to make was to have shadows...that being one of the things that get forgotten when people first start doing hair in post-render painting.

RosemaryR
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"This...this is magnificent!"
"Oh, yeah. Ooooo. Aaaaah. That's how it starts.
Then, later, there's ...running. And....screaming."