Shadows (and their big brothers, Master Shadows) are annoying. You need a +1 weapon to hit them, they're resistant to being turned, they have a lot of HP for their level, their draining touch offers no saving throw at all... and, being incorporeal, 50% of what would otherwise hit them, misses.
A low-level thief with a +1 dagger isn't going to be able to beat this creature alone. Your best bet is indeed Magic Missile, which will always hit; once your sorcerer gets to level 3, he'll get two missiles per spell, which is the damage equivalent of a +2 longsword, or a +1 dagger hitting twice.
There's also that +2 sling you should've found in the first room of the dungeon, which'll enable one more of your PCs to join the fray. In fact, finding magic weapons isn't a problem in this game; they're everywhere.
Hint: a potion of restoration will immediately restore all lost strength points to the character that drinks it; but if multiple PCs have been hit (or you're out of those potions) you're better off resting for a few 'days' in a row: each rest period returns one lost point to every drained character on the team.
Speak softly, and carry a big stick. Or better yet: a big, sharp blade