The light, when it is BLINKING orange, has nothing to do with battery status. The blinking light means DO NOT DISCONNECT. It is a warning to NOT physically disconnect the shuffle without ejecting it in iTunes first. This is because the shuffle's "disk" is mounted by the computer's system and "in use" (even if iTunes is not doing anything), like a USB flash drive or external drive is mounted when plugged in.
In iTunes, there is a small button next to the shuffle's name for ejecting the shuffle. When you click that button, you should see that the light stops blinking. Solid light means OK TO DISCONNECT. Now, the color of the solid light indicates battery status, and if it is fully charged, it will be green. Solid orange means it is charging, but you can safely disconnect it. NOTE: The light never blinks green.
If you set up the shuffle to do automatic syncing (instead of loading it manually), when iTunes is not activity accessing the shuffle for syncing, iTunes unmounts the shuffle's disk. Then, the shuffle's light will be solid without the need to eject it. It will only blink when iTunes is syncing the shuffle. And you can disconnect the shuffle without ejecting it first (as long as the light is not blinking). You can post back if you want more info on setting up automatic syncing.