I am a bit late to the party here, but I did this for a time when I was a broke 20-something to ensure that my dogs were getting enough calcium with their (rather cheapo commercial) kibble. I couldn't afford 'good food' for them at the time, so I read a lot about dietary supplements and gave them extras. In fact, one of the reasons I am getting chickens this year is to help with dog feed again.
Anyway, so I rinse the shells well with water (till the membrane or anything that might go foul later is gone. Then lay them out on a sheet of parchment paper or waxed on top of a cookie sheet. I would have to check the temp I baked at (its been a few years and me memory ain't what it used to be), but it was a relatively low temp - 250°F, I think.
Then bake the shells for 20 min to an hour. The whole purpose of this is to make them brittle and kill off any lingering microbes. You don't want to char the shells tho. Then I roll up the wax paper with the egg still in it and use a mallet to smoosh them to bits. Great time to vent any aggressions you might have simmering.

Then just funnel them into a clean canning jar with a lid to store like any other herb.
Finally I would measure out what I needed for my nutritional blend mixed with brewers yeast, sea kelp, and a few other healthy goodies and sprinkle it on the dog's food each day. They always, at least, tolerated it. I, on the other hand, hated it. Added to food it was a step above eating dirt, so gritty. Blech. Maybe I needed to grind it much smaller, but I didn't have a food mill at the time. Part of the problem was that I was only dealing with a dozen-ish egg shells at the time, so it was a lot of effort for a small reward. If I have enough shells it might be worth it. Maybe now that I have chickies
and a food mill I will try again. Calcium supplements are not cheap.