I used nipple shields with Chloe too (for about eight weeks!) because my nipples were cracked and bleeding. The shields seemed to help her open her mouth more and get a better latch. Eventually when she got older, her mouth got bigger, she got better at latching, and I was able to wean her off them.
My midwife told me not to stress about weaning baby off them. She said as long as she's feeding well and gaining weight there's no real issue (other than how annoying it is!). I think the other problem is that the baby might not accept the nipple when you try to wean. Chloe didn't at first, but I just kept offering it to her when she was in a good mood. Like what nicandtyler said, start off with the shield, then quickly slip it out and put baby back on. When they're really worked up it just doesn't work.
Are you using the small sized shields? My favourite brand was Medela, and they have a small size that may be easier for your baby to take into his mouth?
I ended up having three shields. I kept them in a little waterproof container full of milton-sterilised water, and I'd wash them and put them back in there when done. And then I'd have a clean one to use. That container went everywhere with me!
I know a lot of what you read on the internet is very negative towards nipple shields, as it has the potential to cause nipple confusion. BUT, you are already using them. I say, do whatever works for you and baby! Like I said, Chloe fed through shields for about eight weeks and she now feeds great without them.
Feeding is SO HARD at the beginning (it gets better, really!), you might as well try and get the hang of it before you wean baby off the shields. In my experience, once baby is a bit more efficient at latching and feeding, it might be easier to wean him off them.
I know though, they're such a pain, but whatever works!