If in doubt, blu-tack is your friend, gives you the option either way and you can mould your figures to suit your needs for each game.
One of the benefits of SBG over Warhammer is that you don't have to arm all your warband the same way which makes it really easy to hit 500/750/1000 points dead on. Whenever I find myself 2 or 3 points over the limit the first thing to go is the odd shield here and there (saves you having to drop a warrior), so the ability to add/remove shields from individual warriors if useful.
I've got 18 plastic Warg Riders painted up and take this approach with my shields, it also means I can choose to give them to the sword armed guys or the throwing weapon guys depending on the game. Finally, having a bunch of spare shields painted up is also handy for other warriors to borrow them. For example if I'm a point or two short I'll pinch a warg rider shield and blu-tack it to the back of an infantry orc.
And as a last consideration even if you do glue them, glue them on after you've painted them as you'll find both the riders and the shields far easier to paint.
But yes, unless you can guarantee you'll always want them to have shields (Uruk warriors with shields for example), I'd just blu-tack them.
Enjoy, I'd love to paint up a box of those Knights, far too much backlog to work through first though
