The easiest way would be to adjust this in the 'effects' of the layers palette. To do so, just go to the bottom of the layers palette, click on the 'fx' button and select 'gradient overlay', adjust the gradient as needed. Note: this is providing you have each piece on it's own layer so the effect can be applied individually.
You will have to make sure they are not pieces to a compound shape (this would apply one big gradient to the entire group).
Right-click on them and select 'isolate selected group'. While in isolation mode, open the layers palette, highlight all of the layer shapes below 'Compound Shape' and drag them upward out of the 'Compound Shape' layer so they are on their own, this will apply the gradient to each individual piece, then exit isolation mode.