Sein: Future II - Ich werde gewesen (!) sein
Yes, the forms are correct. However, Futur I is not used that often (it's frequently replaced by Präsens + adverbial indicating future), and Futur II is rarely used at all, so it's no wonder you haven't heard it. :-)
"I will have been shopping" is the continous form, there's no literal equivalent.
"I will have shopped" = literally "Ich werde eingekauft haben."
But as I said, Futur I is often replaced by the Präsens, so Futur II is replaced by the Perfekt: "Nachdem ich morgen eingekauft habe, will ich ins Kino gehen."