You can either add shipping to each product or set a default shipping price for all products. Or if you prefer you can charge only one shipping fee at the per order level.
Per Product Shipping
On the product details page, in the product data section, click the shipping tab and then enter in your shipping prices.
Default Shipping
You can setup default shipping prices on the shop settings page: My Account > Shop manager > Settings > Shop Settings > Shipping Tab
When creating a product, leave the shipping empty to use the default shipping prices. If you add a shipping price on the product page it will overwrite the default prices.
Per Order Shipping
On the Shop Manager page click: Settings > Shop Settings > Shipping Tab
Then scroll down and enter values for "Minimum / Maximum shipping charged per order".
Note the "per order" options effect all the products in an order so can't be overridden on a single product basis.