Will's suggestion is a good one, and is the method I used to capture my Mitsubishi VCR shuttle ring codes.

The Pronto will learn the first codes it receives after you hit the button to learn. Since the shuttle ring of most remotes will send the appropriate code continuously while the shuttle ring is held in that position, the trick is to rotate the shuttle ring to the right position first, then hit the button you want to teach that position to on the Pronto. This is the opposite order to the normal method.

This technique worked fine for both my Mitsu VCRs and Pioneer laserdisc player.

Perhaps if I find myself with some spare time on my hands (yeah, right...) I'll go add a 'shuttle' control to the Pronto OS. It's not a simple thing to do, or we'd probably have done it already :-)