I dont use a shield for my Plex server (I use a windows 10 machine in the spare room) , but I know its a supported device. Have a read here...
https://support.plex.tv/articles/221099988-setting-up-and-managing-plex-media-server-on-nvidia-shield/
There are plenty youtube videos running you through the whole process. DM me if you have specific questions about Plex, I'll do my best to help.