It wasn't just to protect himself though. He was doing it for Vic and Ronnie too. He felt terrible the moment he did it, and when he found out Aceveda lied to Vic about Lem's deal, he was about to shoot himself.
Shane also seems like he was changing since the Lem murder. He seems like he's a little bit more moral (putting his life on the line to save the baby, seeming concerned for Vic and his family and trying to get Vic to stop beating Guardo). I don't think he would have done that in the previous seasons.
I'd still like to see something bad happen to him though.
The part where Vic was beating Guardo with the chain was brutal as hell. Totaly outdid the stove scene with Armadillo.
The acting this season has been superb. Michael Chiklis is really incredible.