A researcher by the name of Ken Tamai used this technique and greatly improved his students' listening abilities. While listening to recorded speech, you repeat exactly what you hear, immediately upon hearing it.
Cassette tapes are better than video tapes because they are easier to rewind and pause.
Repeat what you hear as soon as you hear it. Pause when you need to pause. After you finish your first attempt at shadowing, look at the transcript carefully. Underline the areas that you couldn't shadow well in pencil. If you don't have a transcript then try to tape yourself and compare your shadowing to the original.