Embracing the Sand: Head out and find the largest and harshest desert biome possible and build a home from sand, glass, and sandstone. This will be your main shelter and it is to be built with defence in mind, as Shen is a god of war. The roof should be accessible for archery, and the perimeter should be laden with cacti to damage hostile mobs.
Tools for War: A room in your house should become a dedicated armoury. Stock the armoury with the following items before proceeding: a wooden sword, a bow, and stone sword, an iron sword, a full set of leather armour, and a full set of iron armour.
Warning Signs: Make the other paths understand this territory is claimed in Shen's name. Litter the perimeter of your house (or ever the entire border of the desert, if you're feeling pious) with shrines to Shen. This will make people think twice before encroaching on your territory.
Always Ready: You must always, always have a weapon in your hot bar, to be without a weapon is a DIRE failure in Shen's eyes.
Level 2 - Desert Nomad
Pyramid of Trials: Construct a mighty pyramid, and have the interior contain no light. Let mobs spawn as a trial and training grounds. Kill 10 creepers and 10 skeletons within to consecrate the pyramid. Continue to train here when there are no villages to burn.
Faith in Rage: Head off into the world and hunt down villages of testificates. Murder them all and burn their villages to the ground. Take what valuables you can from the village to appease Shen. Destroy and massacre 2 villages to move onward.
Consume the Fallen: You may only eat rotten meat from this point forward. You may counter the effects of food poisoning with milk to help keep you strong.
Level 3 - Sand Shepherd
Pyramid of Composure: This pyramid will act as the only place from this point forward that you can contain your fiery rage. Within the pyramid is the only place you can craft new items, smelt ores, harvest crops, sleep, brew potions or enchant things. When outside the pyramid you are considered to be a raging ball of fury that destroys everything in its path. Breaking this rule means expulsion from the path. As soon as you become a Sand Shepherd move all your living necessities within this pyramid.
Rage Manifests: Obtain a diamond sword and enchant it with the fire aspect. Use this sword to burn and massacre 2 more villages. Make sure to take the valuables!
Level 4 - Flame Serpent
Fire Affinity: Complete a set of complete iron armour. One of the pieces of armour must have the fire protection enchant on it. You may now only use your diamond fire sword and a bucket of lava as your weapon. (you may make and re-enchant your diamond sword when it breaks).
Nether-Bane: Head to the Nether in Shen's honour to battle with the forces of Net. Destroy 10 ghasts, 50 zombie pigmen, 5 blazes and 5 magma cubes.
Ender-Bane: Locate a stronghold and head to the end, kill the ender dragon as a sacrifice to Shen. When you have killed him, strip yourself of your armor and weapon and kill yourself in your bucket of lava. You go on to Shen's realm to forever hunt with him. Delete your game world.