Transparency and shadows

Still fairly new to Blender myself here, so maybe what I'm looking for is
in a tutorial that I've just not seen yet.

I've created a transparent object (using the Yafray "Colored
Glass" material options under KEYF5 - I have another question about that
that I'll save for later) - but the shadow that's generated is grey rather
than the bluish colour that the transparent object has.

How can I get the shadow to accurately reflect the colour of the material
it's passing through?

Thanks,

Jim