I depends on whether the shading is going to be contained within the object you are shading, or is going to be hard up against any edges, and there lots of wways to go about it.
For and edge shade I Ctrl click the object layer to load its selection, and stroke the center on a new layer. Not it has to be the centre. Then I turn off the selection and and use Gaussian blur on the stroke layer.
Now I reload the selection, and invert it, and delete everything outside the selection.
Sometimes complex selections need another approach. Use a soft brush and apply the shading on a new layer not worrying about over spill. Then blur it. Then Ctrl click the pobject layer to load it as a selection, and add a layer mask to the shading layer. You have to add the layer mask after the blur or it will blur from the edges.
There are lots of other tricks, but I am about to sit down for my tea so I might add more later.