3mors: I was at first, after reading some of these replies, going to jump in and say, "Hey, I don't think what he's asking is out-of-the-question," but then I re-read the part where you said you keep your iTunes library empty...
That's counter-intuitive to what iTunes was designed for -- it was designed and operates like a piece of software that manages a library of songs. The "Library" playlist should always contain all of your songs, and custom-made playlists will contain sub-lists of songs (like a "My iPod Shuffle Playlist" and "Classic Rock" and "Recently Added" and so on...). These song files can be from one, single place on your hard drive, or across multiple hard drives, making managing all your music easy.
Ah, I guess my point is that what you would like to do with your shuffle, I believe, is completely possible. It's not that you're using the shuffle the wrong way (although I hate using the word "wrong," as it's just "counter-what-is-intended"), it's that you're using iTunes the wrong way.
If you're like me and look at your iTunes library and feel a bit overwhelmed by the number of songs and inability to manage thousands of songs in one, big list, then playlists are for you -- as I quickly discovered. No need to remove songs from iTunes simply because you don't want it listed anymore, but still want the file on the shuffle -- just keep it in the Library, but don't add it to any playlists.
At any rate, if you're up to it, try leaving all your songs in iTunes, make playlists, and then try to use your shuffle as you were before... I have a suspicion it might work as a drag-and-drop style audio player that way. I hope that helps!