Hi WD,
Just hold down the Shift key while dragging. Your selection will be constrained to move in the X or Y direction, but you can "scroll" as coarse as you want!
Nudging is intended as a fine tuning of gross movements. I would guess that dragging shapes is the "coarse" movement you want in the first place...unless you hate using the mouse! (which you have to do a lot more in Visio 2010, I might add...)