Your best bet is to define an object style - this would just contain the drop shadow information. Then you can apply the object style to every object that you want to add a shadow to.
By using this method, if you want to globally change the drop shadow at any time, you can do it just by changing the object style.
Ahh ok....how do I "define an object style"?
Edit: Disregard...I found several resources doing a Google seach!
If you want the object style to be permanently available, then with no documents open, go to your measurements palette at the top of the screen. You can choose the drop-down menu to the left of the [Basic Graphics Frame] to open the new object style menu.
De-select all the Basic attributes or click Reset To Base, and then just select Drop Shadow from the Effects for: Object menu.
Once you have defined the style, just click it with an object selected to apply the style.