I do it too, but it's partly because I'm pretty new to the fandom and I feel like I can't do him justice by referring to him by his real name unless I can master remembering and pronouncing his last name.
Swedes pronounce it kinda like "shell-be-rj" (shell as in shellfish). Non-swedish speakers often say the "be"-part like the word bucks but its more like the "be" in best.
The J is pronounced softly like the u in use and y in yellow. Okay, I'm gonna stop writing now because I'm confusing myself...
Yeah, it's pretty much like "shell-bearj". It doesn't really work with beige since the g in beige is more like an "sch"-sound rather than a "j"-sound. You could also say "shell-beary" with the y pronounced like the y in really. It's not exactly the same but it works too.
The J is pronounced softly like the u in use and y in yellow. Okay, I'm gonna stop writing now because I'm confusing myself...