Seems pretty good as long as you don't do anything foolish to expose your amounts.  Or alternatively, I think you can just send some of your shadow tokens back to SDC and then use the SDC to pay the merchant and it seems just as anonymous.

But timing also plays a role as well.  Its probably best to have a pool of shadow long before you have to spend or transfer any back to SDC.  The longer you wait before changing back to SDC, the more anonymous it seems to be. But as the network grows the anonymity will improve as its easier to blend in with the rest of the network.  Also if you have super large amounts of SDC, then this is going to stick out on the network, so better to keep transactions smaller.

Also, alternatively you could wash the funds by going into Shadow, then back to SDC at some future time.  You could prepare pockets of SDC ready to spend.  I find myself doing this with Bitcoin.  Cleaning the coins, then setting up a few pocket addresses that can be used for spending at different merchants without linking them together.  Then if there is any change in the pocket, you could send it back to Shadow stealth address.  Would there be any problems arising from this behavior?  Is it safe to send the change back to a stealth address that already contains shadow?  

But also it seems the more shadow that exists in the network the better the anonymity.  So it may be healthy for the network if we all keep a good percentage of our coins in Shadow all the time.