Hi,
If you just have to have different prices for different products but still only one shipping method selected for the whole order, you want to create one or several manual shipping method and in its options, you want to turn on the "use shipping price per product" option. Then, in each product edition page, you'll have a "shipping prices" area where you can click on the + button in order to add the shipping price for each shipping method.
If you want different shipping prices but also different shipping method selections for different products, then you want to create one warehouse per product, and one set of shipping method per warehouse. You can directly enter the price of the shipping for the concerned product in each shipping method.