I prefer to try and hook the shark quickly, just in case it's planning on spitting the bait. Remember to set the hook three or four times to make sure you have a good hook up. When hooked, Mako Sharks will usually jump and put on quite an exciting. Blue sharks don't jump but they will give you pretty good fight, depending on the size of fish. In Long Island waters, you might also catch the fairly common Thresher sharks.
Sharks are normally offshore, but have been caught close to the beach as well.
Anglers will say that you have to fish the canyons for the bigger fish. Some also like to fish wrecks. But the bottom line is that where there is bait, sharks will follow. I do most of my sharks fishing about 15-20 miles southeast of Shinnecock Inlet. The water depth is between 130 and 180 feet.