So far I have six XBees running around the house and never bought a shield. I do have several adafruit XBee adapters and in one case I wired the XBee directly to the arduino. You CAN hook an XBee directly to the arduino by using the 3.3V supply, ground and serial pins. I have a device running just this way because I ran out of adapters once. To secure them to something I use two sided tape, simple and cheap. If you want to see the various items I've got running take a lock at my blog at draythomp.blogspot.com under the XBee tab at the top. I even stuck one to the side of a wall wart as a temperature sensor.
You DO NOT need a complicated setup to get these to work. I do recommend that you have two ways to connect the XBees to your computer so that you can run two of them at a time. It's much easier to set them up and get them working if you can run two at once and play with the configuration. Also, I don't always use arduino pins 0 and 1 to communicate with the XBees. I use newsoftserial version 10C and put the XBee on a couple of digital pins. This way I don't have to remember to unplug it to download software to the Arduino.