If you want to EV train it, don't waste your time raising its defenses or its Hp, since one hit brings him down. Most people raise one of his offensive stats and speed. One of the best things to do with him is to have him in your party, and with careful prediction, use him to absorb powerful attacks. Your opponent just maxed their power with stat raising moves and tries to use hyper beam... but doesn't even scratch the shedinja you switch in.