I used to wait until the end to do all my shadowing but since I'm such a slow scrapper I used to dread doing it because I just wanted to be done by that point. But awhile ago I switched to shadowing in stages and it doesn't annoy me as much anymore. 
I get my base layer (basic design and papers) down first and then I shadow all those. I tend to do shadowing as I place elements in groups, so all alphas, all flowers, all buttons, etc, are placed and then shadowed at the same time. I've actually found that shadowing while I'm placing elements has made layering overall a lot easier because I can see where I want to add different elements to add dimension to the page.
I use a combination of actions and styles and since I use a lot of repeating shapes, I tend to adjust one item to the shadowing I want and then copy that layer style to anything that is similar. I'm all about copying and pasting layer styles, it's so much faster than doing them all individually.
If I have any warping to do, I do that last so as not to have to track all the individual shadow layers when I'm still moving stuff around. I don't do too much warping though, just for an occasional flower that doesn't look quite right.
I get my base layer (basic design and papers) down first and then I shadow all those. I tend to do shadowing as I place elements in groups, so all alphas, all flowers, all buttons, etc, are placed and then shadowed at the same time. I've actually found that shadowing while I'm placing elements has made layering overall a lot easier because I can see where I want to add different elements to add dimension to the page.
I use a combination of actions and styles and since I use a lot of repeating shapes, I tend to adjust one item to the shadowing I want and then copy that layer style to anything that is similar. I'm all about copying and pasting layer styles, it's so much faster than doing them all individually.
If I have any warping to do, I do that last so as not to have to track all the individual shadow layers when I'm still moving stuff around. I don't do too much warping though, just for an occasional flower that doesn't look quite right.
I use them in PSE5. You can't warp them like she does in her tutorial, but they are still awesome just on their own! HTH!