There are a few different ways to consolidate shipments depending on how your business process works and the types of products you are working with. The warehouse team could look for consolidation opportunities to manually consolidate or there are a few parameters that could be turned on to have the system try to consolidate.
Here is a quick look at how to manually consolidate shipments.
AX2012 R3 CU9
AX Build 7.0.1265.3015