Following the rest of the tutorial, I put my character in my desired posed (using the masks and the TransPose tools), chose a picture for my background and rendered everything in a nice composition.
Note: after some research I found out that Zbrush's Light options don't work on the MatCap materials because they already have their own source of lighting. However during the rendering part of my process I could use my image of the background as reference for my ambient light which blended with the rendered shadows quite nicely.