Sheldon, who retains his position as the managing partner in charge of MindShare's digital and interactive consultancy mdigital, will be responsible for advising clients on future trends in new media and he envisages splitting his time equally between the two companies.
The 42-year-old explained: "This new position makes perfect sense both for MindShare and The Henley Centre, as the two roles really are complementary.
"At MindShare we study consumer attitudes and behaviour towards new media today, and at The Henley Centre I will be looking at future trends in the market. Hopefully my work with one company will inform and build on my work at the other."
Sheldon was an early pioneer and champion of digital media having been a founder of JWT Digital. In 1996 he was responsible for creating the Kellogg's Frosties ad that allowed cable households to control the storyline in what was acclaimed as the world's first media foray into interactive TV advertising.
Sheldon has worked in the digital and interactive arena for eight years and is a director of WPP's interactive forum WPP.com, which oversees all of the company's involvement in the interactive field.
Sheldon, who has worked within WPP for 14 years, will continue to report to MindShare's futures director, Jed Glanvill. Glanvill said: "The common ownership of MindShare and The Henley Centre has allowed us to create this unique, new role, which can only help us in developing new digital consultancy services for our clients."
Sheldon's move marks the first example of a formalised job share between a WPP media or creative agency and The Henley Centre, although they do work together on specific projects. The Henley Centre's chief executive, Sian Davies, would not rule out the possibility of future collaborations.