The gloss isn't only a gradient, it has a darker shape to make an illusion of curved surface and a reflection from the horizon.
I skip the colors and goto the edges of the letters, as asked.
In the bottom there's a black copy, only shifted a little down and to the right
Layer style Bevel&Emboss is applied to make the bevelled edges. All settings are critical. You may need to play a while until the right combination is found.
Bevel&Emboss with weird settings is often used to create metallic gloss. It can make plausible large gradients with very little work. Here's a coloring example, where all gradients are generated with Bevel&Emboss
There is 2 extra embossed layers with weird settings. The letters were copied to them with contracted selection to leave the edges visible in layer "Puzzle". Layer Interior Lower is clipped at mid height with eraser to create the dark curved edge.
On the top there's adjustment layer Curves to stretch the contrast.
Beware: Option global light means that you adjust every bevelled object in the current work.