Can anybody point me to the answer, how do figures in mags and web sites get the convincing shadow effect.Do they airbrush or dry brush etc. Any help gladly appreciated.
Short answer; both. You can use an air brush or hairy brushes. Dry brushing is a very good way to bring highlights up.
If you want to try with an air brush a small tip: Shoot up, feet to head with the shadow colours, then shoot down, head to feet with the highlight colour.
This should give a more or less natural light and shade. Then its hairy stick time for the detail.