shims = little metal clips. that won't come with your brake pads. they keep the pads from rattling.
as for the noise you hear, its a floating caliper assembly. the pads may touch the rotor a little while not driving. it's not a problem unless they are actually dragging - i.e. braking while you are not braking. if that is the case i would guess you did not reset the piston sufficiently during the install. either that or the caliper is seized.
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