I did this very quick and it's not perfect. I don't have time this am to go into great detail, but I will elaborate later.
I used the Rounded Rectangle Tool, Pen Tool, and the Brush Tool.
This effect is a matter of breaking down it components. Remember, there will be other ways to do this.
Shape 1
Shape 2 (Template)
Shape 3 (Template)
Shape 4
Create a new layer above Shape 1 layer.
Cmd/Cntrl + click the Shape 2 Template's thumbnail
Opt/Alt+Cmd/Cntrl + click Shape 3 Template's thumbnail to combine the selections.
Use your Brush Tool to add the shading.
Hit Cmd/Cntrl + D to deselect
Create a new layer above the last shading layer.
Hit Cmd/Cntrl + click the Shape 3 Template's thumbnail.
Use your brush Tool to add the shading.
Cmd/Cntrl + D to deselect
Last, but not least, Turn on the Shape 4 layer.