Warm light, cool shadow; cool light, warm shadow.
If you can determine what temperature the light source is, whether sun or ambient overcast light, the temperature of the shadows will be the opposite.
If you violate the rule and your use of color temperature is inconsistent, you will confuse your viewer. He'll know something isn't quite right, but he most likely won't be able to put his finger on it. Here's an illustration I made. The top sketch shows warm light with cool shadows. The bottom, cool light with warm shadows. Each is a gross exaggeration, but I think it puts the point across.
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The workshop ended with a "cake 'n' critique" session. One of students brought in a celebration cake with "Happy Painting!" written on top. Over cake and coffee, everyone told me how interested they are in having the workshop again next year. I can't wait - spring is beautiful in New Hampshire.