Try finding the file in My Files. Long press on the file. You should get a box pop-up with some options. One of the options should be to add to shelf. If you tap that, it will show you your list of shelves. Tap the one you want to add it to.
Another way to add items to your shelves is to go into My Library. Tap the shelf you want to edit. At the bottom left, tap the four lines, that will bring up your options. Tap manage shelf content. Your options should be: Books, Magazines, Apps, and Kids. Tap the category you want to add, and it should display all the content for that category, with check boxes to tap the ones you want to add to that shelf. My sideloaded pdfs don't ever show up on the book list here, though my sideloaded epubs do, so for pdfs I have to add to my shelves through My Files.