What I typically do is right-click on the shelved file and select "Diff Against Workspace File". When you open up the Diff tool, you can select a button in the toolbar to "Edit file in right pane". This essentially starts a two-way merge. With each difference you can select the changes you want from the shelved file (differences are selected from the workspace file by default).
However, it would be nice if Perforce added a type of merge feature to do this more automatically.
Edit to add:
Perforce now has a built-in capability to merge files when unshelving. If the user unshelves a file that is also checked out, and "Revert checked out files before unshelving" is unchecked, Perforce will mark that file for resolve. I looked through the release notes and was not able to find in which version this capability was added, but based on this link (see near bottom of p4 unshelve
description), it was added no later than 2012.1.
Edited again to add:
That feature was added in release 2011.1 of the server. Here's the release note:
#299614 (Bug #38221, #39099) **
Unshelving a file opened for edit over a file already opened
for edit in the workspace is now allowed. A resolve record is
created when unshelving, and the user must then run 'p4 resolve'
to resolve the workspace files with the shelved files.
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