First, what Mac (intel or not?) are you using? Which OS X version are you using?
SheepShaver only emulates versions up to MacOS 9.0.4.
Getting SheepShaver to work correctly will probably take a lot of patience and effort on your part, so be prepared.
-a CD that has a disk image of MacOS 9.0.4 or earlier (preferable NOT a disk that was shipped with an iMac, as it contains hardware-specific system files in it that will cause problems).
-a ROM image
-SheepShaver 2.3 (free download)
I've gotten it to work on my MBP for the most part, but I'm having sound issues that I'm trying to correct. This stems from using an iMac system disk.