Using a gradient fill is one way to add an illusion of depth to an object.
Another, perhaps more robust way to do so is to use Soften Fill Edges. Select
any fill object on stage and click Modify, Shape, Soften Fill Edges.
You
can then choose whether you want the softening to extend outward from the
shape, or inward, as well as the distance in pixels for the softening effect,
and the number of steps of softening. If you choose outward, 25 pixels, 5
steps, for example, your fill object will be extended on all sides with 5-pixel
bands of decreasing transparency, as shown on the left above.
The bands are independently editable fill objects (unlike parts of a gradient): they may be selectively deleted, select-dragged into new shapes, recolored, or edited in any other way that a fill object can be edited. This, plus the fact that the effect is created in the same shape as the original object, makes this more robust (though bigger filesize-wise) than applying a gradient fill, which can only be applied as a radial or linear gradient. The closeup of Jerome Birembaut's beautiful rendering of Katie Holmes above shows this technique in use.

Remember this one! The paste-in-place feature is useful whenever
you want to paste a copied object in the exact place it was copied or cut
from. By copying a shape in a layer (mac: cmd-c / PC: ctrl-c, or choose Edit,
Copy) and pasting it in place (mac: cmd-shift-v / PC: ctrl-shift-v,
or choose Edit, Paste in Place) in a higher or lower layer, and then moving
the shape or dragging its edges to make it irregular, you can create layered
or drop-shadowed objects like those above.
Both
the paintbrush tool and the eraser tool include options to specify exactly
what is to be painted/erased. The drawing on the left was made with the paintbrush's
"paint inside" option, as shown, which means that the new color will only
be applied within the bounds of whatever fill object is first touched by the
paint brush.
Discussed on this page:
soften fill edges, paste in place, paint inside
Other Resources
For an online example of painting inside, see this page by Tipatat Chennavasin.
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An example of using the Flash 8 glow filter to make a light saber
Soften Fill Edges is used in several places in this tutorial on creating various kinds of masks
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The tutorial above is excerpted from Russell Chun's book, Macromedia Flash MX Advanced for Windows and Macintosh: Visual QuickPro Guide, available at Amazon:
Macromedia Flash MX Advanced for Windows and Macintosh: Visual QuickPro Guide