Create new layer and fill it with the pattern we just created. To do so, open Fill dialog (Edi menu - Fill), choose Pattern, and then in the list of custom patterns, find the one we need (last one).

oh yes! now we have blue squares in layer 1 and a black grid in layer 2. This is not all yet!

Hold Ctrl and click "layer 2". The black grid should become selection. Then, hide layer 2 (click on the eye), and select layer 1.

Then, simply hit Del button, and you will get the 1-pixel gap between the squares. Why would you need it? Read on!

Now that each square is separated with a pixel of transparency, we can apply layer effects. I used Bevel and Emboss, you can other. Note the values shown in the screenshot: size is 0, shadow mode - color dodge with opacity about 50%. When applying layer effects, always remember than no effects looks better than too many effects. So, be careful when setting the values.