Yes, the box is defined in the shader:
// http://www.iquilezles.org/www/articles/distfunctions/distfunctions.htm
float udBox( vec3 p, vec3 b )
{
return length(max(abs(p)-b,0.0));
}
Unfortunately, I have no idea of how to do that stuff with arbitrary geometries.
The only way I can imagine is that you can model complex solids by combining the primitives described with the distance functions. But the more complex the model, the more complex shaders you get 
Just have a look at the source code of the raymarching shader, there you can find all the functions for primitives:
Very cool idea! 