I have Spybot & AVG Anti Spyware. Both have resident shield settings

Spybot: Resident SD Helper & Resident Tea Timer

AVG Resident Shield

Should they have their resident shields active or just one of them? Or do I really need any of them both running at all?

I personally don't use either, actively. If you're going to scan regularly anyway (which you should!), then active protection is really not a high priority. Active protection really should be for people who have kids that they can't keep their eyes on....

I use TeaTimer and it's pretty good. It tells me when there are changes to registry so I can tell if spyware/adware is trying to change registry settings.

It's also pretty good at keeping some of the most common spyware (the ones that keep coming back) off my pc.

Nah, if you must, leave either one on. I recommend leaving the resident shield off though, as it takes resources for no good reason.

Just think more about where they can come and don't let them in at the first place. It's already too late if they've invaded your computer.