A shell script is an ASCII text file containing one or more commands.
#!/bin/bash
# My example bash script (the comment line above ensures this will run under bash)
echo "Hello World"
Next you need to make the script executable with chmod
$ chmod u+x my_shell_script.sh
You can now run the script by prefixing it with ./
$ ./my_shell_script.sh
If you will be writing a few shell scripts then it's worth creating a folder, perhaps called "scripts" and adding that to the system path:
$ mkdir -p $HOME/scripts
$ export PATH="$PATH:~/scripts"
Even better is to edit your .bash_profile file to include export PATH="$PATH:~/scripts" that will keep the "scripts" folder in your path every time you log in.
With the script saved in the folder, you can now run it with just:
$ my_shell_script.sh
Related:
OS X Syntax