I believe the simple answer is using the term "shades" to mean "ghosts".
literary A ghost.
This makes sense in context as they are opening graves and therefore letting the ghosts of the dead back into the world.
Shade is used to refer to ghosts/spirits of the dead elsewhere in the books.
And yet, he knew he could not keep silent. He had a duty to Robert, to the realm, to the shade of Jon Arryn … and to Bran, who surely must have stumbled on some part of the truth. Why else would they have tried to slay him?
A Game of Thrones - Eddard XII
Ser Rodrik said, "That would please the Glovers, and perhaps Lord Hornwood's shade as well, but I do not think Lady Hornwood would love us. The boy is not of her blood."
A Clash of Kings - Bran II
"King Renly's shade was seen as well," the captain said, "slaying right and left as he led the lion lord's van.
Renly's shade. Davos wondered if his sons would return as shades as well.
A Storm of Swords - Davos II
In the above reference we know all those characters to be dead so therefore would be shades. I feel the last Davos quote is most telling in this regard as it mentions the direct reference to the dead returning as shades.
Also, as a point of clarity as I'm not sure with your phrasing "and they dug many graves", they were not digging new graves but opening old ones back up to see if the horn had been buried.