For the stroke problem that you're having (with the single stroke)... I'm going off of Photoshop 7.0 so it might be a bit different...try your best to follow along ^_^

First...choose the Brush tool and choose the brush size and color that you want. Then do the normal pen tool stuff...

Pen tool (make your selection and stuff) >> right-click >> stroke path >> tool: Brush >> OK

Your selection should now have a stroke around it with the brush size and color that you chose! ^O^ You could also choose the "Simulate Pressure" option to achieve the thinner stroke on the ends with a thicker stroke in the middle ^_~ If this doesn't work...tell me T^T I'll try to figure out another way to help you~!

But this wall is very cute ^_~ I kind of like the simplicity with the limited number of colors used...but if you want...try working a bit with gradients and stuff. But don't rely on it to strictly make the shadows...rather...incorporate it into the "blocks of color" to give it more interest ^_^ I don't know if you actually understand what I'm talking about or not XD Sorry for not being able to be clearer T^T