If you just got an iPod Shuffle and haven’t had an iPod before, you may be looking for a very common button found on most consumer electronics: the on/off switch. Well, stop your search because the iPod Shuffle doesn’t have an on/off button. Just let it go to sleep.
The hold switch is at the edge of the iPod Shuffle near the random switch (on second-generation Shuffles. On the first generation, it's on the back of the iPod). Slide the hold switch to the on position when you put the iPod away. This will lock the clickwheel the same way you lock a cell phone keypad. Now, your iPod won’t accidentally wake from sleep when a button is pushed and drain its power. To start using your iPod again, just slide the hold switch into the other position and click a button to start it up again.