Correct, holding down the Shift key will initial the Safe Boot process but you have to continue to hold down that key until the spinning gear appears below the Apple logo. It can sometimes take couple of minutes for that to appear.
Holding down the Option key is what allows you to bring up the volume/partition manager on startup. Holding down the Alt key would require you to also hold the Fn (function key) and you wouldn't use that to choose a partition/volume on startup.
Have you already installed Windows (via Boot Camp)? If not the process actually begins within OS X by running the Boot Camp Assistant, which will partition your drive. When you first setup Windows it will make that volume the default boot OS. You can change that within System Preferences by going to Startup Disk and choose the OS X volume/partition.