You can also add multiple books to the shelf through the device. From the shelf, press the menu icon in the bottom right and select "Manage". On the next screen, press the "Add Books" at the top. The list of all books is displayed. Press the "+" to add each to a shelf. You can also press the magnifying glass to do a search and select books to add from the result.
The above is using the latest firmware. The exact options have changed over time, so maybe older firmware is different.