all parts (posts, comments, widgets, menu line, slider, main container...)?
It really is outside the ability of this forum to answer how to change the shadows on all elements that have them. Your best bet is to install the Firebug extension for Firefox to identify those elements you want to change.
And would also like to have possibility to change thickness, transparency and colour of the shadow.
Here is a good resource with a sandbox you can experiment in:
After updating Graphene theme I don't want to loose those adjustments.
I guess I need to change css theme code, and best way to do it is in child theme.
If you only have a few changes, you can add them to the Custom CSS option in Graphene Options. But for more than a few lines of code, yes, a child theme is the best way.
I'm not a programmer, is there any more simple way?
Short of hiring somebody, no. If you want to make changes beyond the theme options, you need to learn at least a little bit about HTML and CSS. There are some good resources here:
Don't worry, everybody started out knowing nothing about coding. Try things out, ask specific questions here, and don't be afraid to experiment. It's fun!