As Helen said, you need to separate the tags by commas. If that doesn't produce multiple shelves for one book, it means the column is probably a plain text column and not a tag type column.
I would suggest doing this for one book rather than them all. Find a book you want on both shelves, open the edit metadata dialog, go to the "Custom metadata" tab and find you column. Start typing the shelf name. If this is a tag-type column, the values already entered will be displayed to pick from. To add a second shelf, enter a comma and the shelf names to pick from will be displayed again. If the shelf name you want isn't, just type a new name in.
When finished, save the changes, connect the device and let the sync happen. Then disconnect and check that it worked.