I do my flats on two layers (background+characters) and do a bit of shading directly on the colour layer, mainly of skintones and hair, which require a lot of detail work, and then do one overlay layer to adjust atmospheric lighting, and then one multiply layer for the shadows.
I try to pick one colour to shade with for the entire page, as it's faster, and I try to pick one that fits the lighting of the page. If it's a warm yellow sunshine type of situation, I go with a shadow that is tinted a bit purple. If the lighting is orange or reddish, I go with a more blue-tinted shadow - and so on. It's similar to how @shazzbaa works, actually!
I do both! I nearly always add a layer to adjust for atmospheric lighting, and when necessary add another couple of layers for specific lightsources, rim-lighting, etc, etc.