OK, I keep coming back to this to see if maybe I understand your question, but I'm still not sure I do. lol You're asking, I think, using those, but NOT using the plastic overlays, how to shadow the stitches. Yes?
It's these that don't have the plastic - 365Unscripted: Plastic Stitched Grids 1. I think I've got it now. I tried it with shadow and overlay but that seemed subtle. I'm using screen now but if you have other suggestions it would be appreciated.