If you are a regular user of custom shapes in Photoshop, here are a few tips on using them when combined with layer styles. The benefits of using custom shapes for smaller work are the ability to scale losslessly and to experiment with color and effects by way of saved layer styles.
Getting Artwork From Illustrator Into Photoshop
To paste a path from Illustrator make sure the AICB option (Preserve Paths) is switched on in Illustrator (File Handling and Clipboard Preferences). This will allow you the option of pasting the path as a shape layer.

Saving New Shapes
With the Path selected, go to Edit> Define custom shape. It is then added to your library.

Getting New Shapes
Use the great Adobe Exchange Studio to find great new shapes.

Working With Layer Styles
When adding some depth to a custom shape, consider experimenting with building up layer styles one by one. Often taking an existing layer style from the Styles palette and adapting certain settings, you can get a feel of how the layer styles interact with each other.