Depending on the type of goods you work with you may ship each order as it comes in or try to consolidate shipments. There are a few different processes you can explore in warehouse management. If you want to create a load for each sales then you can look at a parameter called automatically create load at sales order entry.
Here is a quick look at how this works.
AX2012 R3 CU9
AX Build 7.0.1265.3015