In my opinion, one's soul is one's identity; one's sense of self, will, etc. Even to a lesser degree, surrendering one's sense of self requires a number of willful choices that alter one's identity. To a greater degree, it is nearly impossible for such to be completely lost because that which makes up you is not even a wholly conscious thing.
To respond to other responses...
"Shadow people" is a very vague description for various entities. More often than not they're little shadowy images that people think that they see, but which are more often than not figments of one's imagination, or optical illusions resulting from the conditions of one's environment and the vastly intricate manner in which the optic nerves and the brain work. Those that are actually spirits, which again are rather uncommon, are frequently harmless and only viewed as "shadow people" because they are not, generally, being perceived through the spectrum of light.
Spiritual beings are typically just that, will and identity attached to spirit, if not otherwise manifested through one's subconscious. As such, they are experienced in images, sounds, etc. that the brain creates so that one can attempt to process that which it perceives. They are, in essence, your brain attempting to create a metaphor for you so that you can understand various other subtle sensory perceptions. As such, they will be perceived differently by most people, even if there are otherwise subtle similarities.
Shadowy people is the common perception because any kind of intelligence or will leaves people commonly thinking of other people. The shadowy aspect is usually because that is the most common way for one to interpret something that is ethereal, ghostly, spiritual, or otherwise not of this world. More often than not, such entities are just local nature spirits, spirits that naturally flock to urban centers, impressions left behind, etc. Very rarely will they bother anyone, attach themselves to you in your sleep, or otherwise do harm.
As for sleep paralysis, this is an actual physical condition, linked to various medical disorders such as sleep apnea or narcolepsy. It combines a physical weakness resulting from the state between wakefulness and sleep with only being semi-alert, due to being half asleep. As such, hallucinations and the like occur frequently which are little more than dreams. It is not typically a state that has anything to do with magic, projection, etc. beyond medieval theories regarding it being the result of various evil spirits. It can, as was suggested, leave one with the impression of being haunted by demons, ghosts, etc.
Otherwise, such experiences during sleep are typically just bad dreams.