While this is possible to do with iPods and iTunes, it's not the way they were intended to be used. "Syncing" the iPod implies that the shuffle will be a partial "mirror" of what's on your computer -- if it's not on the computer, it "shouldn't" be on the iPod.
The idea is that the iPod is kind of like a "satellite" to the computer -- you can take some of your computer's music with you. Having music on the iPod that is not also on the computer is counter-intuitive to the "syncing" idea.
The iPod shuffle is a "special" iPod, in that it lacks certain features that the other iPods have, mainly the ability to manually sync music (and thus have songs on the iPod that are not on the computer):
http://docs.info.apple.com/article.html?artnum=300657
That article, on the other hand, specifically mentions this:
Quote:
Can I manually add music or do I have to use the Autofill feature?
You can manually drag songs from your iTunes library or other playlist to the iPod shuffle icon.
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What I take that to mean, though, is that when you connect the shuffle, it will auto-fill automatically, but then you have the option after that to manually drag songs over to the shuffle.