I use Pirate Ship for all of my shipping which hits my credit card. Should I be bringing that in as an expense?

It depends -- if you are adding the shipping cost to the "Shipping Costs" field of the sales, then no (this will be factored into your expenses by MRG). On the other hand, if you aren't entering these costs on the sales, then yes, and you can connect that credit card to MRG to pull them in automatically.