The shims on almost any dado set will have a tendency to fall into the acme threads on tablesaw arbors, but I've found that the easiest method to keep them from doing that is to put the set together so the shims are between the last chipper and the outside blade at the washer and nut. I have a Freud SD-508 set and put the inner blade and chippers on the arbor one at a time. Then I'll add the shim(s) and seat them against the last chipper -- because the thread is at an angle and the chipper plate is perpendicular to the arbor shaft, you'll know it is okay if it sits against the chipper. Then I put the outer blade in place followed by the washer and arbor nut. Works for me, even with 0.004" shims.