Sending a report to a shortwave station is similar to reporting a medium wave station. So if you haven't read the section on Sending Reception Reports to medium wave stations it would be worth a quick read. Reporting to shortwave stations is not much different but with shortwave you can look forward to collecting QSL cards and letters from all over the world.
Some stations send program guides, newsletters, booklets, and even travel information.
When you listen to a shortwave broadcast you need to record the frequency, date and time in UTC when the station was heard. As for medium wave stations you need to jot down some details of the program. The name of the program. Items unique to the locality of the station. How much detail you can record often depends on reception conditions and the nature of the program.