Three IKEA Benno CD/DVD shelves side by side.
Question: What's wrong ? Answer: all intermediate vertical panels come twice.

Find it ugly, or space-wasting, or both ? Here is how to fix the issue.

Step 1: Buy the Shelves

In our case, we will mount three Benno shelves... So we will have to buy three packs!

In the end, two side panel will remain unused. (We'll certainly find some cool Instructable to use them.)

Step 2: In the Intermediate Panels, Drill the Holes Through

Each side panel has one of its both sides with non-traversing holes and a groove.

Firmly tighten two of the 6 panels together, by means of paper adhesive tape, with holes turned to the outside. Carefully align them before.

Drill the holes completely through the panels pair. Use a plastic piece to protect the panel. Use drills of matching diameter.

Detach the panels. Now each hole goes through.

Two other panels will remain unmodified, and the two last will be unused.

Step 3: The Central Back Panel Must Be Narrowed

The back panels are designed to fit into the side panels' grooves, and are hence wider than the inner width of the shelves.

The two side panels around the central shelf will have no groove on their side towards the central space. Hence, the central back panel needs to be narrowed. It must have the exact width of the shelves.

1. Protect the cut line with adhesive paper tape; use a shelf to mark the width on the tape

2. Cut the back panel

3. Sand it

Step 4: Mount the Left Shelf

Mount the left shelf as per IKEA instruction.

The upper side panel will have apparent traversing holes.

Step 5: Mount the Central and the Right Shelves

The central shelf is then mounted quite like the previous one, but on the left shelf.

The special screws take more than the half of the panels' thickness, so two opposite screws will not fit completely. Hence those of the central panels need to be shortened by 4 mm (using a regular metal saw).

UPDATE (Jan 19, 2012): as suggested by Balafre, an even better solution is to shorten every screw of the central panels by 2 mm (instead of each other one, by 4 mm).
The right shelf is then mounted in its turn.
The central back panel gets tightened by means of nails.