I don't quite understand what you mean by "linking to the shared grandparents". You should only link an individual to their parents. This will automatically link them to the appropriate grandparents.
If you are trying to put in a separate and additional link, that would explain the duplication. I have several sets of cousins marrying and have never had a problem. FH works fine with just about any kind of relationship!
When you link or add an individual to a family make sure you use the appropriate choice for Link to Existing Individual or a new individual where appropriate.
Best of luck