A sort of shadow figure

Correct I meant to say make one for you self.

One key thing to realize here is that it can't hurt you. The only way it can effect you is if you allow it to. This world belongs to us humans, we built it and earned it. A spirit such as this has no right to interfere, and it is your job to lay down the law. If entities like this really posed a threat, the Earth would've fallen to them a long time ago. Take charge of the situation and demand this thing depart or face your wrath. If it refuses to obey, then you are within your rights to do whatever you wish to it, for it has declared itself your enemy. Spirits often rely on our fear of them to gain the upper hand against us since they are in our home, but once that advantage is gone they are the ones who are afraid of us.

Hmm well said

FaithSeeker has got it right.

The replies above give really nice insight on depowering a negative entity. Now for removing it from your lives completely, you might want to try a banishing spell? Start by using a smudge stick to cleanse, then cast your circle and do the banishing rite. Maybe do a protection blessing for your fiance as well.

Good luck and blessed be.

Thanks for the advice guys :)

For my fiance it mostly makes him mad, he's not afraid of her(which I know he shouldn't get upset) She usually just watches him and waves at him, she's never said anything.
I used to have a shadow-man follow me around, but he went away on his own after time passed.

And perhaps the shadow figure isn't anything negative at all. She may simply be trying to contact your fiance. Since just appearing to him didn't make him pay attention she has resorted to more drastic methods of getting him to notice her. Perhaps next time she appears (if the situation is safe) he should spend some time letting her know he is listening and try to find out what it is that she wants.

I agree wit lark

Same here. The advice I gave was specifically for hostile entities. Your first priority should be to communicate with this thing and ask why it is doing what it is.

Well, "she" is gone for now. She stopped showing up near the end of November.
The last time Joseph saw her, I saw her as well. She was just sitting in the backseat of his car. She smiled, but it wasn't a unsettling event actually.
Next year we will try to communicate with her. In our previous attempts she would show herself, then leave. I'm hoping she will stay around long enough to get information.

Thanks everyone for the advice :)