Weird. I tried that method once and it worked fine for me.

It worked fine for me first try... It doesn't show Shedinja in the evolution screen, but it always shows up afterward.

How many Pokeballs do you have spare?

It is a regular pokeball, right?

I believe you need to have more than one Pokeball, otherwise it won't take it.

I have 3 I think.

Ok. Whoops. When I went to buy the pokeballs I apparently didn't have enough and wasn't paying attention. I've got it now.

Yeah, one of the first things I did was evolve me a Shedinja c:

Shedinjas are fricking great.