My Magento install has a handy "print all" button that lets me print all my PDF invoices and order confirmations. This is super handy, however would there be a way to extend this so that it ships the order too (and therefore marked as completed) I don't know where to look. Thanks
You could start by looking at our free AutoInvoice extension. This gives a nice head start on how to set up an extension to do this, although this creates the invoice, not the shipment.
With these three combined, you'll be able to create your own extension that does the mass shipping for you.
UPDATE: I've extended our AutoInvoice extension since we got a question exactly like this one. Please check it out :)