A.,
First of all, don't get too stressed out about it! I used a nipple shield in the beginning with both of my children. I nursed my daughter for 9 months and my son is currently 4 months and nursing just fine.
My daughter never latched on at the hospital. On the last day they gave me a nipple shield to try with and she would at least try. When I got her home she was finally latching on and eating well. About a week later I started researching how to wean her from the nipple shield and found a lot of scary articles saying my milk production was going to go down, etc. I freaked out and tried to get her to nurse without it, which just frustrated her and we were getting nowhere. I called a lactation consultant (who was fabulous) and ended up just talking to her on the phone, but she told me that she had had clients that used a nursing shield for the entire time they breastfed and didn't have any problems with their milk production. Her suggestion to me was that every day to try 3 times to have my daughter nurse without the nipple shield and that eventually we would get it. She was absolutely right. Once I stopped stressing about it, I would try for a little while to nurse without the shield and when my daughter would start getting frustrated, I would put it on and we would be just fine. I think it took us about 4 days and she was nursing without the shield.
I did the same thing with my son. At the hospital we had problems with him latching on, so I asked for a nipple shield. He started latching on just fine with it. One of the lactation consultants seemed to feel I shouldn't use the shield, but it worked for us so I essentially ignored her. When we got home and we were nursing well, I started trying a few times a day without the shield. He actually did really well on one side without it pretty quickly and it took a little longer on the other, but within a few days we were shield free.
I would keep doing what you are doing, try without the shield, but if he gets frustrated, put it back on. It isn't hurting anything. He will get the hang of it without the shield soon and you won't need it.
One nice thing about the shield is that in the beginning when you are first getting used to nursing, it protects your nipples and you delay some of the pain that you get once he is latching on without the shield. The pain will go away after a couple of days, but I thought it was nice that I didn't have that along with the contractions and frustrations in the beginning.
Good Luck,
D.