In order to cast shadows on terrain you would have to use level geometry to create your terrain instead of the A5 HMP file. The advantages of using level geometry are that they accept lighting and shadows and can me built as entities so that they can be removed when not seen, etc. Disadvantages are that they will generate a ton of portals (unless designed wisely), and have the level geometry texture limitations (you cannot have one large texture spread over several blocks). There are other advantages/disadvantages as well, but my mind is not working to well today:).

In any case, it is difficult to build good looking terrain by hand. I would recommend you find a decent terrain generator, such as Nem's Mega 3D Terrain Generator. It will generate terrains and can save them out as .map files which can be brought straight into WED.