Hi Lenore,
Congrats on the babies and working to breastfeed! Let me preface this with I am a Lactation Consultant who works with the issues you are dealing with.
Your babies are still 3 weeks before their due date, and that due date is important with premies. Most seem to pull everything together right around that time. Some babies will not nurse without the shield for a length of time and trying to wean them from it can be a real challenge. At this age, it would be unwise to do a tough love thing (that I sometimes recommend with older babies) and try to force them to nurse without it. In my experience it just doesn't always work well and can lead to very frustrated babies...with a very frustrated mom. Most all babies will eventually self wean if they won't wean when mom tries... :)
The issues you are having with the nipple shield do happen and they can be worked with, however, they really need to be evaluated in person by an LC who knows has extensive experience with premies. So, I would encourage you to look in your area for such an LC - someone who comes to your home would be best if possible. Ask for referrals from friends who have seen someone - do your research and find someone who you 'click' with. :)
Hang in there...you can do this - it just may take time, and I encourage you to get the appropriate help. :)
Warmly,
J. Simpson, IBCLC, CIIM
www.breastfeedingnetwork.net