I have an RCA 5 Disc changer which for some reason my Harmony 880 won't allow me to change discs. Now, the original remote for the changer was cheap and had a shift button, so to change to Disc 2 you would press Shift and 2. I tried assigning the Shift button manually on the harmony so I could do the same thing but it didn't work. Is there an easy way to macro the dual button presses, or a better way to set up an RCA Disc changer?

Do you know if the Shift key sends an IR command prior to the number, or does it wait until you press a number (shift key modifier)?
Try teaching the "Shift" key. If it does not see any IR then it's a key modifier.
What are the number keys used for without the Shift key?
Also do you see a "Shift" command in device mode?

I taught the shift key, and it didn't work, the keys still acted as if they were pressed by themselves.

The number keys without the shift key are used to change tracks on the current disc.
I checked the device mode before and didn't see a "Shift" command.

This leads me believe the Shift key is just a key modifier (it does not send an IR command by itself). What you need to do is to teach it both sets of key functions (normal-unshifted 0-9, and shifted 0-9). You may also want to use the Harmony CD jukebox "Setup Media" feature. Make sure your CD player was added as jukebox type. Then re-run the Device > More Options > Redo initial setup (or Advanced setup) to set the "How do you select a disc". It will give 4 options. Select the 1st one (I use number keys to select a disc). It will also ask your for the "Start" and "Finish" disc selection commands. In you case, select "I don't send any command" for both. The "Media" feature will use the 0-9 command names to send the commands. In you case, you want it to send the "shifted 0-9" commands. So you need to re-teach the "shifted 0-9" functions to the existing 0-9 command names (by default, the normal 0-9 functions are already taught to the 0-9 names). In order to get the normal 0-9 functions back, you need to teach it the normal (unshifted) 0-9 functions under a new set of different names like 0N-9N. Then under device and activity mode, re-map the 0-9 keys to the new set of command names (0N-9N).

If you decide not to use the Harmony CD jukebox "Setup Media" feature, then simply teach it the "shifted 0-9" commands under a set of different names like 0S-9S, and map these new command names to LCD keys.

I didn't see a section called how to select a disc in either the basic setup or in the advanced setup.

On the website interface, the "Redo initial setup" and "Advanced setup" are under Device > More Options. Next to your CD jukebox (under the Device column), you should also see the "Setup Media" option.
This option becomes available if the device was added as a CD jukebox (not CD player) and the device is used in an activity.

Note 1: I don't have a jukebox but I was curious what the "Setup Media" feature would look like.
Advantage: After pressing the Media button, you see your list and you can select via the soft LCD keys.
Drawback: In Media mode, all the hard keys are disable (unlike the Media mode for Favorite Channels). I found that very annoying. To me, this limitation is a "show stopper". I would probably pretend my CD player is a DVD recorder to get the Favorite Channel feature, and use that to list my CD discs.

Note 2: In view of Note 1 above, and considering you only have 5 discs, then I would simply teach the "shifted 1-5" commands under a set of different names like "1S" to "5S" or better yet "Disc 1" to "Disc 5", and map these new command names to the LCD keys under the CD Activity. You would use the LCD keys to select a disc, and use the keypad keys to change track.