Continuity: Jean Shepherd, the far-out talker on WOR radio, declared last week that his forthcoming appearance in a Broadway show would not interrupt his radio career. Mr. Shepherd explained he would be able to handle the stage assignment without curtailment of a single syllable over WOR, from Mondays through Fridays. "Radio is an avenue of expression that is very valuable to me," he said. Mr. Shepherd will be one of the principals in Leonard Sillman's "New Faces of '62," which opens at the Alvin Theatre on Feb. 1. He also has written some of the sketches for the show. Mr. Shepherd already is beginning to record material that will be used on his radio program while "New Faces of '62" is on the road prior to the Broadway opening. During the out-of-town tryout, he will return here one day a week to record additional material. Mr. Shepherd will revert to a live broadcast after the Broadway show opens.