Weaning my son off the nipple shield was not an easy process. As I recall, I started by always offering him the breast first, and if he wouldn't latch on after a few tries, I would use the shield. I only tried without the shield during the day to begin with, and then as he got more proficient, I tried during the night as well. Initially, he got good at taking one side without the shield, but needed the shield for the other side. The process took a couple weeks for him to nurse without using the shield, but we've gone on to being able to bf for his entire first year.
At the time, I felt strongly that I wanted to nurse without the shield, but in retrospect, he was still getting all the benefits of breastmilk, so I didn't need to stress myself over it. I've also had a couple friends use the shield well into the second month, and it seems their babies managed to learn to nurse just fine too.
Also, be warned, once I quit using the nipple shield, my nipples got very sore. Soothies helped quite a bit, as did "airing out."