The protesters joined Sgt Shalit’s parents, who are staying in a tent near the house of outgoing prime minister, Ehud Olmert.
They want their son freed as part of a prisoner swap with the Palestinians.
An Israeli negotiator yesterday briefed Olmert about talks in Cairo to free the Israeli soldier.
Ofer Dekel met Olmert after returning from three days of talks in Egypt with intelligence chief, Omar Suleiman, and other senior officials.
Egypt is mediating the negotiations.
Olmert will also brief prime minister designate, Benjamin Netanyahu, about Dekel’s contacts.
The premier does not intend to immediately call together his security cabinet, which would need to approve a release of Palestinian prisoners in exchange for Sgt Shalit, who was captured in June 2006, the radio said.
It also said Dekel would probably head back to Cairo in the next few days.
The Islamist Hamas group now ruling the Gaza Strip wants the release of several hundred Palestinians held in Israeli jails in exchange for letting Sgt Shalit go.
At one stage, crowds of protesters blocked the road leading to Olmert’s residence, chanting: “Olmert, you made a promise, Olmert, keep it.”
The Shalits say they fear a harder-line cabinet led by Netanyahu might be less likely to do a deal.