Typically, game engines with stencil shadows use structural boundaries to tell the renderer where to cut off the shadows. In DGDK/DBP, I personally don't know any way to do this. Because of this, what happens is that you get shadows of infinite length (and intense workload for your CPU) and that the shadows become severily prone to both near- and far-plane clipping if you don't know exactly how the shadows work.
They also have inherent disadvantages, such as the fact that models with shadows must be solid meshes -- you can't have unwelded/unmerged vertices or a "leak" is caused.
For short, I agree with jezza -- don't.