Because you don't want your sphere floating around in some grey netherworld, we can give this sphere a sense of placement by adding a simple shadow. Create a new layer in Photoshop and name it "Shadow." Make sure it is over your background layer, but under your sphere.
Grabbing your elliptical marquee tool, create an oval shape that spans across the center of your sphere, like I've done. The reason we start out doing this is because it gives you a fairly accurate size of shadow rather than just eyeballing it. Of course, as anyone can tell you, shadows are entirely dependent on lighting and therefore you could easily eyeball where they should go.
Now, using the paint bucket tool, fill the oval with black. If you don't want your shadow to be too dark, you could fill it with a dark gray right now, or you can simply adjust the opacity later on. I generally prefer to adjust the opacity later on, as it just seems to be quicker this way. (Image below is shown with the sphere layer hidden, not removed.)
Move your shadow with the move tool so it's under your sphere like so:
Seems a little harsh for a shadow, doesn't it? We can fix that. Go to Filter > Blur > Gaussian Blur. Play around with the settings until you soften the edges of your shadow to the point that you like. For example, my setting is 5.5px.
Now, doesn't that look nice? Just make sure that your shadow falls in the same line as your highlight, but directly behind it. That's one of the most important things about creating a 3D object, after all. You've got to make it believable.
I decided that I thought my shadow seemed slightly too dark, so I lowered the layer opacity of my shadow layer to 80%. Here's my finished result.