It's important to note that the 1st and 2nd gen shuffle is a very simple device. It acts like a single playlist and you load it manually using iTunes. Then you play that one and only playlist in random order or playlist order.
The 3rd and 4th gen shuffle is designed to be more like the "big" iPods. You can set it up for automatic syncing and it can have multiple playlists on it. Because it does not have a screen, you use VoiceOver to "navigate" and select the playlist you want to use. The default playlist is the All Songs list.
It's important to distinguish the terms "podcast" from "episode." The individual items on the shuffle are podcast episodes. Each podcast (all episodes on the shuffle from the same podcast) acts as a separate playlist, with the episodes of the podcast on the list. When you use VoiceOver, those podcasts are on VoiceOver playlist menu. So, you do not need to create a playlist with podcast episodes. NOTE: When you select a podcast using VoiceOver, it does not matter if the power switch is set to shuffle or play-in-order.
HOWEVER, if you want to replicate how the old shuffle works, you can create a playlist on the shuffle, and call it "iPod Podcasts" (or whatever you want). That one playlist is equal to your old shuffle. If you are loading the shuffle manually (by dragging items to the shuffle), you need to create the playlist in iTunes ON THE SHUFFLE, so that it appears on the shuffle's content list (indented below the shuffle in the sidebar). When you manually load the podcasts to the shuffle, instead of dragging the episodes to the overall shuffle, drag them to that playlist. You can then select the playlist (on the shuffle's content list) and adjust the playlist order as desired. So, it is like loading your old shuffle, except you are acting on a single playlist on the shuffle instead of the overall shuffle.
When using the shuffle, use VoiceOver to select that "iPod Podcasts" playlist. Now, just like the old shuffle, to play podcasts, the power switch needs to be in the play-in-order position. So, when you are in that playlist, it works like your old shuffle.
The benefit of the new shuffle is that you can create multiple playlists. So, if you want a few songs on the shuffle, create a playlist called "iPod Songs" and put your favorites songs on it. They are kept separate from the podcasts, and you can switch back and forth between the two playlists using VoiceOver.