Assuming that you've set your start and end keyframes, and created your shape tween:
1. Click on the shape for which you want to add the hints.
2. Click once on a blank area of the stage.
3. Check the menu again. The option for "Add Shape Hint" should be there.
It seems counter-intuitive, but it works for me.
Assuming you have the shape tween (a start and end keyframe connected by an arrow with green background on the timeline). Either click the shape in the start keyframe (not end frame or between) or click the start keyframe where the shape resides. Then you should be able to add shape hints. Be wary though when adding alot of shape hints. Flash tends to crash a lot when dealing with this shape hint feature so i recommend you save your document whenever you have successfully added a shape hint.
(that post was from last year. he's probably moved on by now.)
I saw that it was an older post, but since I'd found a work-around, I might as well post the method I was using for posterity.
I found it very confusing that the "Add Shape Hint.." option is grayed out when a shape is selected. One would think that to add a shape hint to a shape, one would first click on the shape in question.
Why I have to click on the stage first is baffling; perhaps shape hints are bound not to a shape, but to the stage of a frame. Then they can be attached to any morphing shape on the stage in that frame. From that perspective I suppose it makes more sense.