I can't check right this second but it should go something like this:
1- Boot Sega CD with disc in drive
2- On Sega CD screen press A, B, or C, not start
3- From the CD player menu select the memory button and press something.
4- Select copy RAM to system (You can see from the icons)
5- Select the save you want to copy and confirm it.
Beware though, the Sega CD only has enough internal save RAM to store one Shining Force save. It is a major pain in the butt.