I found them! They came to the US arriving on 4 Jan 1867 on the S.S. Peruvian. Joseph Shepperson and Sophia Fletcher Shepperson and all the children came together (Children Joseph B, Elizabeth (Annie?), Sophia, Sarah A, Frederick and George and Harry.
I got the citizenship papers from the National Archives of Boston (they were very quick and responsive). It was Joseph Shepperson's papers that had the correct arrival date - younger Joseph's date of arrival was close and Harry's was about 3 years off.
I had asked the National Archives to help me find passenger ship manifests. But I was able to find the microfilm (scanning?) batch numbers on line.
And although I had some initial trouble with the online interface and finding the right passenger lists (I didn't think these had been digitized yet), yesterday I was able to access the Boston passenger lists for that period of time. Getting to approximately Jan 4 1867, I was able to view each page.
I found them on page 2 - name was spelled Steperson, almost all the first names were abbreviations and Harry was listed as Henry.
Once I had all of this info (including the incorrect surname spelling), I was able to find more of this info directly on ancestry.com