Make a big image with a white background. Now, make a new raster layer.
Go to Layer > New raster layer.
Now, use whatever brushes you want. Use a dark color, like dark red. (Make sure you are using the brushes on the RASTER layer, and not the background)
Now, go to Effects >3d effects > Drop shadow.
Now you can add the shadow,
Compared to the plain brushes, your newer brushes with shadows look much nicer!