I would but the shim on both sets inside the shoe. Which leg is it? And is that leg's foot smaller than the other.. if so no problem, as you should have purchased shoes based on the larger foot.
Usually people have one foot smaller than the other... I never considered one of my legs is shorter than the other.

Or just by one set of thin insoles and one set of thicker insole and use one of each.
I like this Superfeet, but they expensive.

Insoles | Superfeet

One green set and one blue set.