Beloved Leader wrote:

What was the name of his theme song.

It's as if I can hear him even now, coming on the air on WOR. How many
years has it been?

"The Bahn Frei Polka (Clear Track) by Edouard Strauss. The rendition
Shep used is by Arthur Fiedler and the Boston Pops. It's available on CD
as RCA # 09026-61688-2 and it's titled "Strauss Family Waltzes" / Arthur
Fiedler Boston Pops Orchestra."

from the Shep website FAQ.
http://www.keyflux.com/shep/