I am not sure if this is incorrect, but this is how we have been doing it. When you pay for a card to come out of shadows, say its a unique character, it goes into play. Then, you draw another copy of that unique character. When it comes to Marshalling next round, you just play the duplicate onto the already in play character.

Is this wrong? It sounds like you are supposed to pay for the dupe to go into shadows, then pay for it to come out to attach it as a duplicate. If that is correct, that seems to be a huge disadvantage?

You are allowed to do it either way. Usually you'll want to play it directly from your hand as a dupe, but if you have some effect that wants lots of cards in shadows, or a "when a card comes out of shadows" effect, you might want to run her through Shadows. Keep in mind that to bring her out of Shadows costs gold, even if it's going to dupe her.