The only practical Sturdy Shedinja setup is a triple battle team with a HA Carbink on it. Have Shedinja in the middle, a Carbink with Sturdy and Skill Swap on one side, and a Pokemon with Thunder Wave and a move that suppresses or changes abilities (Gastro Acid, Worry Seed, etc). Be sure the Carbink is only 1 point of Speed slower than the ability suppressor Pokemon. Turn 1, suppress Wonder Guard, and Skill Swap Sturdy to it. Turn 2, use Thunder Wave on Shedinja to block Poison.
Have Shedinja hold the weather goggles and Shedinja is almost completely invulnerable. The only things you have to worry about then are a Hail team with Knock Off/Thief/Trick/etc, Leech Seed, and a Ghost using Curse. You can even get around Leech Seed by having a supporter on your team with Forest's Curse, to make Shedinja a Grass type.