You can use Shaders by assigning them to a Loadout.
From the main menu, go to:
- Customize Characters
- Select the name of the Character you want to change your shader for
- Select a Loadout Number
- Select the last option on the Loadout screen for Shaders
- Select the shader you want to use
- Save your loadout by exiting the Loadout screen and selecting Yes when prompted to save your Loadout
When you are on the character select screen, you can now press the X (Xbox One) or Square (PlayStation 4) button to bring up Loadout selection. Selecting the Loadout you saved will apply the shader you selected.