Spatial modulation (SM) is a recent Multiple-Input Multiple-Output (MIMO) transmission technique in which part of the information is transmitted by the index indicating an active antenna. The other part of the information is transmitted by sending a symbol from a digital modulation through this antenna. The advantage of SM compared to other MIMO techniques is that a single RF chain is required. However, since in traditional SM the active antenna selection is made at the symbol rate, the duration of the transmission pulse is limited, resulting in a bandwidth efficiency reduction, a fact that is generally neglected in the literature. Ishibashi and Sugiura have recently proposed a technique that makes use of additional RF chains, where the symbols are transmitted alternately by the RF chains. They performed a spectral efficiency analysis assuming a raised-cosine pulse. In this paper, other shaping pulses better localized both in time and frequency, such as the prolate spheroidal wave function (PSWF) and Gaussian pulses, are proposed, aiming at improving the system's spectral efficiency. Simulation results reveal that with the proposed pulses we can significantly improve the SM spectral efficiency as compared to other pulses considered in the literature.