Apply now Blending Options>Drop Shadow, setting the parameters demonstrated next image:

 



Make a copy of the layer and select Free Transform > Flip horizontal option to turn the copy horizontally and place it as the way from below:



We have got at this stage the Santa’s moustache. Next we have to make the eyes. In this case we have to make also an ellipse and then hold on Alt button to get the other one, making the corrections on the elements’ shapes the way shown next picture:



Make a copy of the eye and place it close to the first one:



Now we’ll represent the big red nose, choosing for this operation the Ellipse Tool (U) too.



Blending Options>Gradient Overlay

 

 



Try to represent now two highlights on the nose, composed of two white ellipses, the way you may see below:



Using the same instrument, try to make two more ellipses, reserved for the eyebrows:



Select Blending Options>Drop Shadow