This article is from the Final-Fantasy and other Square Soft Games FAQ, by firstname.lastname@example.org (Nick Zitzmann) with numerous contributions by others.
In the last few seconds before the World of Balance ended, and you made
it to the end of the path, you were given the choice to jump, or to
wait. If you jumped, then Shadow will die and won't show up anywhere in
the World of Ruin.
But if you waited, then just a few seconds before the world would end,
Shadow will re-join your party and he'll be saved. You'll meet him in
the World of Ruin again, and this time, he'll become a full-time member
of your party.
If you **did** save Shadow, but **still** can't find him, here's a hint:
Look in the Cave on the Veldt.