Apple removed the ability to write to HFS disk images (like the ones used by SheepShaver) in Snow Leopard and Lion. Third-party software now restores that ability, as described here:
After installing OSXFUSE and FuseHFS, you can right-click on a disk image file, choose Open with... and open the disk image with Disk Image Mounter.
Don't forget: if you have a disk image mounted in OS X *AND* mounted at the same time in SheepShaver, you will DESTROY the disk image. So make sure to shut down SheepShaver before mounting a disk image in OS X. Take this warning VERY seriously.