How to create 'face shadow'

Really can't see the problem. The simplest is to use Lihtning Effects with several light sources.

The more hard but better way is to create dark and light versions of the image(by using Multiply and Screen layer modes), and then draw on the mask with the brush. It's like using a flashlight to expose certain areas in the image.

Just one thing though: using Multiply or Screen combine their effect twice: first use Multiply on the copy of the original, Merge, then again combine the result with original but using Luminosity mode. This way you can get rid of oversaturation side effect of Multiply mode. The same holds for Screen mode.