You can edit multiple layers by dragging a selection around all the desired elements on the stage (I assume you are using Flash). Just make sure all those frames have keyframes then select them and select a gradient (if it doesn't automatically change then hit one of the selected shapes with the paint bucket).

Not sure exactly what kind of gradient you are talking about, though. A simple gradient might work, but if you are wanting specific shading on individual pieces then you are going to need to do each piece separately.