I've got a '95 Suby with the same problem, but haven't bothered to mess with mine yet - keep meaning to get under there and tighten it up or remove it.
The heat shield is a thin sheet of metal underneath the engine, towards the back. It's function is to keep tall grass and stuff from contacting the hot exhaust pipe coming out of the back of the engine. Fire prevention. Not really necessary supposedly.
Click&Clack