How do you shingle the cap of a bay window?
Employ a qualified carpenter to do the job properly. (my partner is a builder)
Home Depot and Lowes have books all about roofing some for under $20. I recommend that you read all about it before you try to tackle a project like this. With the help of a book like this you'll save the $20 in wasted lumber.
The same as you do for your roof, lay it out from the bottom to the top. If you're asking because your cap is close under a soffit, you may need to use an air stapler & roofing cement in a tube (caulking gun). Nail & staple as far as you can, then glue the last few in place. Good luck...