The leader will completely finish the wonder even if it has no shields, so if at all possible you should try to make use of any shields already obtained. I would suggest switching to a building or unit and completing that (maybe wasting a couple of shields, or maybe waiting a few extra turns for the wonder), and then starting, hurrying and completing the wonder all in one turn.
(Disclaimer: Everything I say is for PTW. In this case, it should be the same for Vanilla and Conquests, although I may be wrong...)