Apple - How does one make screen captures with a shadow?

No, you do not need to. This feature is built into Mac OS X.

To do this, press ⌘+Shift+4 then press Space. The selector will then change into a camera icon, and you can take a screenshot of the selected window with a shadow.

(I couldn't capture the camera icon)

End result:

Actually I prefer NOT to capture with the shadow at all. There is a command line procedure for suppressing the shadows, but you can accomplish the same thing through the GUI of TinkerTool.

Install TinkerTool and then under its "General" tab, un-check the box next to "Include shadow when capturing window".