I have only fringed one shawl, but what I did is fold each piece of yarn in half, then using a crochet hook, poke the folded side through a loop on the edge of the shawl, then pull the rest of the fringe yarn through the folded end. Wow, that makes more sense in my head than it seems to on paper...
OK, I copied and pasted these out of a message that Shandeh sent me a while ago:
Here's a video on adding fringe with a crochet hook:
And here's a tutorial webpage I fou