You should be able to put both of the files wherever you like. If you look at the start_shanwan.sh file on github, it has the line: "SCRIPT_PATH=/opt/ShanWanTwin_2-4Ghz_Linux/shanwan-joystick.py"
You can either create the ShanWanTwin_2-4Ghz_Linux folder in /opt/ or just change that line to wherever you want to put the script.
You can put the start_shanwat.sh script wherever you want as well. I have mine in my /home/pi folder.
If you're running retropie/raspbian you can then edit the /etc/rc.local file to allow it to run on startup.
See these instructions:
https://thepihut.com/blogs/raspberry...ething-on-boot
