For over a decade there has been a Jean Shepherd thing going that makes the Maharishi Masesh Yogi look as if he had never left his hermitage. The popular radio personality, humorist, actor, and author has developed a cult of intense proportions. There is a pattern to it: the suburban college student, with a bottle of Chianti, a girl, a pizza, parked by the edge of Long Island Sound listening to Jean Shepherd's nightly WOR Radio program. Mr. Shepherd is continuing this tradition in a one-man show he is giving through Nov. 8 at the Fortune Theatre, 62 East Fourth Street. Since 1958, when he first came to New York radio, Mr. Shepherd has been spinning out a nightly monologue on a diverse variety of experiences, his childhood in Indiana and his Army years being the main ones. Like Terry Southern's Professor Mephisto, he has perfected the art of bringing his monologue to a flaming sardonic climax just as his theme song, "The Shiek of Araby," closes the program. In his appearance at the FortuneTheatre he is earthier, and his ability with gestures and stances adds much to his material. Mr. Shepherd's main attraction is that running through his humor and reminiscences are several themes: "We're in a river, in boats made of ice that are melting,v hoping that Walter Cronkite will save us," he says, and he speaks of the rediculous things that men do to try to prove their worth to themselves. In Mr. Shepherd's monologues, this surfaces in images of TV commercials, conspicuous consumption and identification with personalities ("Candice Bergen telling us what war is about") *** Note: Shep's theme song is not "The Shiek of Araby." It is "Bahn Frei."