I would not shade as it can move and choose at will.
I agree that it will move if it is unhappy but it will probably do so to avoid the light and the shaded area it goes to may not be where it really wants to be, but rather where it HAS to be. This will just further stress the nem. The screen allows the nem to find a preferred spot for both lighting and flow and by removing one sheet at a time, the nem can slowly acclimate up to the full strength of lighting. If the nem is in fact bleached feeding it will help bring it's zooxanthellae back but if the nem buries it self in a hole you can't feed it and therefore it won't get light or food.
However, be careful with feeding at this point. Most recommend waiting at least a week after adding a nem to a new tank. Nems acclimate by inflating and deflating by pumping water through themsleves and adding food to the process it not usually a good idea until the nem has acclimated to the surrounding water.
If you use the screen, it just lays on top of the tank (assuming you have some kind of top to support it0. You should be able to remove a sheet about once a week but you can judge that as you go. This may sound like overkill but it is something that I feel will give you the best chance of being successful. Even a fully healthy nem would need to be light acclimated after going from a 2-bulb powercompact to a 6-bulb T5.
I highly recommend that you ID the specie you have and research it's care. Nems are about the most difficult animals we keep in the hobby and if it is not healthy you are already behind the curve.
Sorry for the long post. Good luck with it.
