Hi Aprila
Are you placing the shape under your photo and shadowing it or are you trimming the center (cut a hole) and placing it over?
Its hard to see in the layout you mentioned which way. By cutting the centre from your shape and then shadowing the shape you will get a shadow on both the ouside and inside of the frame which looks more realistic.
To get a little more complicated you can create your white mat. Add a dark grey line to each of the inside edges, and then a white line to the edges to look like the inside of the cut mat, group the whole thing and then add the shadows.
Or see if this tut gives you some ideas
http://www.marysgraphics.com/picit/fun/bevfrm.html