Separable verbs behave like combinations of two verbs. For instance, in declarative sentences the finite verb appears in second position and the non-finite verbs and verbal particles (the separable part of separable verbs) go to the end.
Ich gehe jeden Tag shoppen.
Ich kaufe jeden Tag ein.
In subordinate clauses, the finite verb goes to the end.
(Ich habe kein Geld,)
da ich jeden Tag shoppen gehe
da ich jeden Tag einkaufe
However, the example you give isn't about a combination of two verbs like in the examples above. It is important to know that zu-infinitives can form clauses (marked with square brackets in the following examples). These clauses preferably appear "after the end".
Er hat behauptet, [ jeden Tag shoppen zu gehen. ]
Er hat behauptet, [ jeden Tag einzukaufen. ]
The clausal character of zu-infinitives becomes quite clear when you compare them with a dass-clause.
Er hat behauptet, [ dass er jeden Tag shoppen geht. ]
Er hat behauptet, [ dass er jeden Tag einkauft. ]
Subordinate clauses can however be moved around; for instance, they can easily appear in first position.
[ Dass er jeden Tag shoppen geht, ] wusste ich nicht.
[ Jeden Tag einzukaufen, ], halte ich für Zeitverschwendung.
The technical term for "end" is rechte Satzklammer or Verbalkomplex, while the position "after the end" is known as Nachfeld. For further reference, see for instance Feldermodell des deutschen Satzes.