How can I capture naturally created static electricity so that it won't create a shock when I touch a grounded object
That static electricity is created from rubbing against objects in the environment, which causes charges to be transferred in what is called the triboelectric effect. The total amount of charge is small, but the voltage can easily be in the 10s of kilovolts range. While there are electrochemical potentials created inside the body by nerves and muscles, these potentials are on the order of millivolts, and can be a challenge to measure, let alone use as an energy source. 

The human body is fairly conductive, and as the static charge builds up, it tends to distribute itself on the surface of the skin. The end result is that the whole body is charged to the same potential, and no current flows. Even after building up a static charge, a voltmeter across any two points of your body would read 0. Any device you were carrying would also be unable to detect or use any potential difference across your body. Like a circuit hooked up to only one terminal of a battery, no current could flow, and no energy could be harvested. It is the difference in potential that matters, and that only exists between the body and the environment.

One hypothetical way to collect the stored energy would be a device with two terminals. While holding one terminal, touch the doorknob with the other terminal. The discharge now takes place through the device, which can store some of the associated energy. While physically conceivable, I know of no device able to efficiently capture the energy from such an event. The currents and voltages are brief, but fairly extreme.

That said, at least one group has demonstrations of harvesting triboelectricity in a more controlled setting: Paper Generators: Harvesting Energy from Touching, Rubbing and Sliding. Karagozler, M. E., Poupyrev, I., Fedder, G. K., and Suzuki, Y., In Proc. of UIST’13, ACM.