Jean Shepherd has gone multi-media. For those who grew up with his disembodied voice beaming from a tape recording In the studios of WOR radio in New York City, his abdication of the airwaves is disconcerting. His shows, masterful comic storytelling, were a religion to many. In Philadelphia, teen-agers would pile into their cars on Saturday evening and head up the Jersey turnpike for better reception. Others would just twist their home sets and twirl their antennas to bring in Shepherd above the static.