protected function _saveShipment($shipment)
    {
        $shipment->getOrder()->setIsInProcess(true);
        $transactionSave = Mage::getModel('core/resource_transaction')
            ->addObject($shipment)
            ->addObject($shipment->getOrder())
            ->save();
         return $this;
    }

/app/code/core/Mage/Sales/Model/Order

$this->_setState(self::STATE_COMPLETE, true, '', $userNotification);

protected function _checkState()
    {
        if (!$this->getId()) {
            return $this;
        }

        $userNotification = $this->hasCustomerNoteNotify() ? $this->getCustomerNoteNotify() : null;

        if (!$this->isCanceled()
            && !$this->canUnhold()
            && !$this->canInvoice()
            && !$this->canShip()) {
            if (0 == $this->getBaseGrandTotal() || $this->canCreditmemo()) {
                if ($this->getState() !== self::STATE_COMPLETE) {
                    $this->_setState(self::STATE_COMPLETE, true, '', $userNotification);
                }
            }
            /**
             * Order can be closed just in case when we have refunded amount.
             * In case of "0" grand total order checking ForcedCanCreditmemo flag
             */
            elseif (floatval($this->getTotalRefunded()) || (!$this->getTotalRefunded()
                && $this->hasForcedCanCreditmemo())
            ) {
                if ($this->getState() !== self::STATE_CLOSED) {
                    $this->_setState(self::STATE_CLOSED, true, '', $userNotification);
                }
            }
        }

        if ($this->getState() == self::STATE_NEW && $this->getIsInProcess()) {
            $this->setState(self::STATE_PROCESSING, true, '', $userNotification);
        }
        return $this;
    }