I found that many of the DMX shields are not that easy to deal with, since you still have to manage the timing of things precisely. Here is the thread where I discuss it. Just jump to the end of the thread for the final answer that I recommend. It is a DMX device that buffers the data until you request the DMX data from the device.
My understanding is is that the DMX Converter continuously reads the DMX coming in, and stores it its own memory. It is connected by a pin on the Arduino for serial communication with the DMX Converter. When the Arduino requests the data from the DMX Converter, by putting one of the pins high, the 512 bytes of data are sent over the serial connection.
He has pretty good documentation on his web site.
It seems to require two i/o pins on the Arduino. Though, their documentation is a bit vague on that issue. It was not created for the Aurdino specifically. Rather, it was created originally for his own LED controllers. I imagine you are also new to serial communication, so you would have to read-up on that topic with the Arduino.
I am sorry that I cannot be of more help. I am quite new to using the Arduino as well. I have also tabled my DMX project for now, since my project priories have changed, and I don't know when I will pick it back up.