These are not mine... they are things I found while doing various searches for Shepherd tone examples.
I think the author is using this Reaktor ensemble, from the Native Instruments user-contributed library. It starts out using tones at octave intervals, and I think the cycling is rather obvious. It becomes more convincing when he sets it to narower intervals, starting about 0:55 in.
Second example. This one uses discrete quantized intervals rather than a continuous glissando:
As you can see, the author added a note indicating that he doesn't think it turned out very well. However, I actually find it more convincing than the first example. This is despite the fact that, according to the author, it only uses two tones at a time. I think this may have to do with the chime-like tonality of the tones used; there's a lot of upper overtones and it sounds like some of the overtones are enharmonic. The addition of the drum machine track, while not necessary for demonstrating the principle, adds a nice touch and illustrates a possible use in a musical context. Unfortunately there is nothing in the author's notes about what hardware or software he used to make this.
Third example. I was utterly floored by this one:
Now obviously there's a lot more going on here than just sweeping tones up and down. The author mentions that it uses FM; I don't know if it's using the FM to do some of the tone sweeps and spreading, or just for tonality variations. He apparently did this with a Reaktor ensemble that he built himself. Note the stereo effects. In some places the illusion is very convincing; in other places cycling is somewhat obvious. It seems to hit a place at about 5:10 where the sweep can't go any further, and then at 5:58 it starts back in the other direction. Frequency shifting? The author's notes don't say.
(After you finish listening to this one, go to the author's Youtube page and check out his favorites -- rather interesting list.)