There are several methods. This document may be helpful
I like setting up automatic syncing and selecting it to sync to one or more playlists. Then, I can add and remove songs to and from those playlists, as desired, with the shuffle connected or not. The next time I sync, any changes are automatically synced to the shuffle. You do have to keep track of your overall selection to ensure the songs on the playlists will fit on the shuffle.
The simplest way to quickly fill the shuffle to maximum capacity is to use Autofill. You can use your overall music library or a playlist as the source for the autofill. If the source is larger than the shuffle, iTunes will select a random set of songs that will fit on the shuffle from the source.