I very much aggree about the possible risk of the wheels slipping on their axles and losing the full power and torque output from the pistons, or maybe worse. If they do slip try a bit of Loctite 603, made for this job. I used it when fitting the plastic pinion gears to "hot wound" torquey motors' shafts on the slot cars I produced between 20-25 years ago. Never had one reported let go. Unlike a rodded loco Phill I do not think you have to worry too much about wheel quatering with a Shay. If you did you'd probably be looking at a busted crankshaft at the pistons' "big ends" and no drive

Max