Martian is right about the tugging becoming a dominance struggle, but for shelties, that shouldn't be a problem--as long as you WIN, you can actually assert your own dominance over them using the game. Most shelties I know atually need to be encouraged to play tug, since they are so submissive.
He's also right about tugging being hard on their teeth at times, fi they are really aggressive and using a rubber or hard toy, but tugging with a soft toy like a rag or piece of rope shoould be OK if you don't yank on it, and might even help set their teeth more strongly into the bone (which is part of why they have an urge for tugging and chewing--to strengthen their jawbones and roots).
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