I'm guessing with a die-cut machine. I know I can do it with my cricut expression and cameo silhouette. There is an option for welding letters together, adding shadow, etc. In the software programs I use with them, I have options for the width and direction of the shadow. It can also be done with a regular graphics program, then hand-cut around the edge.~Judy
I don't know about the Expression, but I have a Gazelle that uses Funtime software. What I do is make another copy of my word, then make the Pen size bigger - essentially making the outline fatter. When I'm happy with how fat it is I weld it together to make the shadow background. The advantage of this is that I'm sometimes able to preserve things like the center of the letter O so it gets cut out of the shadow background as well, it just looks nicer for some things.
Another term to look for in your software might be Expand, or as Judy says set the width and direction. I'm sure someone else will chime in here shortly with better instructions for you, but in the meantime check out youtube, I'd be shocked if there isn't a good video on how to do this.
Sorry for being slow in getting back to you. I have SCAL (not available anymore) that I use with my Cricut, so I don't know anything about Craft Room. You might check the Cricut Chat (I think it's called) in the Die-Cutting Forum. You might also check the Videos on this site or Youtube. Hopefully you'll find some help~Judy
Hey, I don't have the Expression but I have the Silhouette SD. I think most of the software is the same. The easiest way to do it would be to use the offset window. On the SD, this window is located among the icons in the boxes at the upper right. If you run your mouse along those icons, you should get a pop up that tells you what each of them are. On mine the offset window icon is a square white box that looks a little like a fridge door with a little black handle on it.
Click on it to open it. Then, click on your image. Finally click on the new icon that says "offset" which on mine looks like a target. You can adjust the size by moving the slider, and choose corner edges or rounded. HTH.