Jean Shepherd, WOR'S conversationalist extraordinary, led a strange procession Monday night when he left the Marboro Book Store, on West 8th Street, where he had sponsored a "Rally for Night People." More than 200 jubilant fans followed Shepherd for several blocks eastward on 8th Street, until squad cars investigated the odd parade. Those who persisted in the march ended up in an automat on 14th Street, where one Night Person was overheard saying: "This is real living Dadaism"