It depends how much patience I have.
The BEST method:
1) As noted above, scrape the arm and shield back down to the bare metal. Make up a thin ribbon of epoxy putty (Kneadatite / green stuff or equivalent) and lay it along the figure's arm. Press the shield against it. During this process you can remove the shield and reposition it until it's perfect, even re-shaping the putty. Let harden.
2) Pop the shield off (you can of course wait and use the figure in games until the shield pops off during play). You've now got a relatively large solid surface custom molded to fit the underside of the shield in exactly the position you want. Mix up some epoxy -- I use 15-minute cure but as noted above others get good results with 5-minute cure.
2a) Apply sparingly to the hardened ribbon of putty. Fit and press the shield back into place, and let cure (overnight or over several nights is best). Now, pop the shield off again (you can again wait and play games with the figure until it pops off during play) -- the putty bond that was NOT epoxied will pop off this time. Again, apply sparingly to the (new side of) the hardened ribbon of putty. Fit and press the shield back into place and let cure.
2b) Alternatively, apply a bead of epoxy heavily so it overflows the hardened ribbon of putty; let cure. This should hold almost as well as 2a above but is quicker. It may require some touchup though.
Or
when I'm not so patient,
Quicker and sloppier is just to put a thick bead of epoxy along the arm and press the shield on. Make sure it doesn't slide off while it cures. The slopped epoxy paints up fine after it cures.
I've also been known to hot-glue my shields on. That is messier than the thick epoxy bead method and the dried hot glue is a little harder to paint. It however is easier to remove and reattach if the shield slides askew while the glue hardens.
Alternatively you can use superglue. Superglue is great stuff. It sticks your shields on, and after they pop off during play, can be used to stick them back on again. Then when they pop off again during play, it can be used to stick them back on one more time. Then, when they pop off again
:)