First off, thanks to DanielRGT for finding this out.
Secondly, I am now the proud owner of two paladin shields.
You can only duplicate Terra. If you try to duplicate another character, Terra will jump on screen, even if she wasn’t on any of your three teams. This sucks because you can’t steal any extra ragnaroks/ultima weapons.
Make sure all of your characters are dead in the first battle, your character will not duplicate if you have two or more of them alive from the second battle on.
Once you get to Kefka’s final form, Terra will just pop in as shown in the video, de-equip both shields for bucklers or nothing (so you won’t lose a good shield to the duplicate character) in your item screen, and you can do the same for the weapons.
Kill Kefka, wait until the long ending sequence is over, save, and you then have two paladin shields in your inventory.