The 47-year-old, who had been an assistant coach with the Indiana Pacers, replaced George Karl in June.
The former guard told the team's website: "I'll have to find a balance. That's going to be a big change for me. It's been a strange summer. I hit the ground running. It's been a lot.
"Right now, we're just trying to get used to each other. I'm trying to establish what our terminology is going to be, so we're all on the same page. We're meeting and I'm gathering information and ideas. We haven't had a lot of time to get settled.
"There are coaches you feel are on another stratosphere and you feel like you can't get close to them, you can't talk to them. There's a fear factor. I don't want it to be like that. I want to be approachable. I want to connect with them and build that trust and establish those relationships."
As a player, Shaw reached the NBA Finals four times with the Orlando Magic and Los Angeles Lakers.