Ahhh, okay. The people at Autozone had no freakin' idea what I was talking about. So just glue the shims to the pads, then the pads to the caliper/piston?

I usually just apply a good amount to the outside of the shim that has contact to the piston, the shims are designed to clip on the pads. However you can apply some to the underside of the shim that has contact to the pad as well.