For starters, I'd definetely advise you to focus on these two options to begin with:
1. Wavedash OoS. The one most useful option with ALL characters in Super Smash Bros Melee (except yoshi).
It's just so good, you'll wonder how you could even play without it. If you wavedash with L, try shielding with R then WD OoS with L. Do the opposite if you usually use R. In a real game I usually end up only using L, but practicing with both gave me a sense of timing.
Once you're consistent at those, you can use WD OoS for 2 main goals. Retreating fast and safely to reset neutral / conter attacking, or WD in to punish laggier moves with shine, D-smash... all dependant of the situation.
2. Auto-Cancel Back-air OoS. Opponents will like to pressure your shield from behind to avoid getting shield-grabbed. To me it's a mistake against falco, AC b-air has great range and is very safe for an aerial.
3. as a bonus. Buffer rolls. You already know how to roll out of your shield, to buffer a roll, keep the c-stick away (left or right) while you're in shield-stun from an attack. This will make you roll AT THE FIRST FRAME possible. It's vey useful to get out of heavy pressure, like some good spacies will love to apply on your shield.
4. double bonus. D-air OoS. When your opponent ****ed-up and lands a laggy move right on you, d-air OoS for a good, easy punish. D-air shine at low %, d-air dash-attack b-air at higher %, d-air f-smash on no DI, etc.
I really really wouldn't recommend to grind shine OoS until you don't master the easier, more reliable options. Leave the next level stuff for... the next level (mind=blown). Airdodging in place right on your opponent because of a messed up shine OoS will do you no good. I know. I've been there.
Hope this helps !