For a unique shadow cards in play, do I have to put the same one into shadows and bring it out of shadows in order to attach it as a dupe? Or can I just attach it during marshalling?

Also, what happens if the unique shadow card went back into shadows and has dupes on it? Are they still "attached"?

You can do both. If you attach the duplicate from your hand you'll be spending no gold whereas if you play it into shadows and then bring it out you'll be paying gold but will benefit from effects such as "after a card comes out of shadows...". It's your call.

If a card has duplicates and goes back to shadows, all of its duplicates get discarded (unless the newest FAQ state that duplicates can save from going back to shadows, which I doubt).