The Ludwig-Soret effect or thermal diffusion, which refers to the separation of liquid mixtures in a temperature gradient, is governed by a nonlinear, partial differential equation in space and time. It is shown here that the solution to the nonlinear differential equation for a binary mixture predicts the existence of shock waves completely analogous to fluid shocks and obeys an expression for the shock velocity that is an exact analogue of the Rankine-Hugoniot relations. Direct measurements of the time dependent, spatial absorption profile of a suspension of nanometer sized particles subjected to a sinusoidal temperature field generated by a pair of continuous laser beams, as well as self-diffraction experiments, show motion of the particles in agreement with the predictions of nonlinear theory.