Shadowing is important for a medical school application to both show that you have experience in a clinical setting as well as allow you to develop relationships with physicians that could potentially write you a letter of recommendation.
You can search for shadowing opportunities in your city by asking physicians you know. If you don't personally know any physicians, you can ask professors or academic advisors if they know physicians that have given shadowing opportunities to students. It is best if you shadow more than one physician and are exposed to more than one specialty.
Shadowing can span over one full day or a few hours per day for weeks or months. You should plan based on both your schedule and the physician's schedule.
During your shadowing sessions, dress professionally and come with questions to ask. You should also be prepared with a notebook if you find that you may want to write notes or questions you may develop during your time shadowing. You may also interact with patients, so be prepared to introduce yourself and answer any questions they may have about yourself. Always remember that patient information is private and shall not be disclosed to anyone. One your shadowing has come to an end, if you feel comfortable enough, you can ask for a letter of recommendation from the physician you shadowed. If you do so, be sure to ask sooner than later in order for the physician to remember their experience with you more clearly.