How do I put a shelf together of book I don't have, but want to get?

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Do you have your name listed as Owner or is it left blank?

Either way, if you enter the books in DL and type "W" or "want" (your choice, but be consistent) in the place of Owner name you can the create a Smart Shelf where Type is Book and Owner is W (or want).

This will create a shelf of the books you are waiting to buy. Just don't forget to update the Owner name when you acquire the book.