Dave, I've never built one of those so congratulations on getting one done. I know they are not the easiest locomotive kit in the world to put together. I have seen (and heard) a few of these running and they sound a lot like a real Shay - noisy! All the U-joints and gears just tend to make the whole mechanism noisy. You can try using a little automatic transmission fluid on the gears and drive train. That and some run in time will quiet it down some. I don't know if you've been around one of these in real life but they have a top speed of a about 20 mph and it sounds like parts are going to come flying off the engine. As long as it runs smooth, noise is one of the things you have to live with when you get a Shay.
HO Scale Modeler