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It shouldn't with a good fit and sufficient break angle providing good downforce. I would make the shim a hair narrower then the saddle, like simulating bevelling the sharp corners off the bottom of a saddle would be like. Compare the shim with the saddle first before dropping it in the bridge because if your shim is a tighter fit it may prevent everything from seating fully to the bottom of the bridge slot.
Seems to make no difference surprisingly. I use offcuts of golpeador material. Just stick your saddle onto the sticky side and trim with a sharp knife.
Some years ago I had a friend who bought a used classical guitar and all seemed well until he changed the strings, when he removed the saddle (it was loose and pretty much fell out after the strings were off) and a matchstick was underneath acting as a shim.
BTW krichards, I live in Canada but have happy memories of Northallerton, especially the Betty's Tearoom there, Sunday brunches used to be a real (and expensive!) treat.
Given that the bridge is made of wood...why should it matter? I have used wood veneer shims sucessfully many, many times (and never unsuccessfully). However, some people are using bone shims now.