The undercoat is a Sheltie's "thermostat," the way Shelties adjust to heat and cold. Shaving is advised ONLY in cases of severe matting to the skin. For your Sheltie's health, brush out the coat, slitting any mats lengthwise with scissors and pulling them apart until they're loose. If there are tangles in very sensitive spots, like on the inside of the back legs, you might just snip those off rather than yank and pull. Wash her, first wetting the coat THOROUGHLY (really takes time to get to the skin). Use a good dog shampoo, lather twice and rinse thoroughly. Follow with a dog conditioner. Blow dry, fluffing with a brush as you go. Do a thorough brushing the next day, as bathing usually loosens a lot of hair.
If you put baby powder behind her ears every few days, that will reduce the fine-fur "collie balls."