In this paper, we present a Bayesian approach to accurately track multiple objects based on Received Signal Strength (RSS) measure- ments. This work shows that taking into account the spatial correla- tions of the observations caused by the random shadowing effect can induce significant tracking performance improvements, especially in very noisy scenarios. Additionally, the superiority of the proposed Sequential Markov Chain Monte Carlo (SMCMC) method over the more common Sequential Importance Resampling (SIR) technique is empirically demonstrated through numerical simulations in which multiple targets have to be tracked