Food puzzle toys might work - Glenn just had a video of Willow working for her breakfast from one. They vary in difficulty. Nosework games of treasure hunting would work to engage her mind and tire her out. Works for ours. I also tend to think her playing with Roxy should be fine unless you feel she is really being bulldozed.
Puppies have a short attention span, like kids! So they can get bored. But I don't think you need to make sure she's busy every minute. As long as she's in a safe environment, she'll entertain herself.
Just one BIG word of caution - please be so careful of her weight. If you read Scout's mom's post, her 8 month old puppy was declared by the ortho vet to be 5 lb overweight - that is a big percentage of his total body weight. Shelties always act like they are starving. Someone mentioned a study on littermates that showed the pups kept lean lived longer and healthier lives. The stress on their joints, especially as they are growing can be immense with extra weight. It's OK to be able to feel their ribs and backbone, that does not mean they are too skinny!