What is the procedure for transferring from United Airlines to Shanghai Airlines domestic?

After you arrive, you need to pass the International Arrived Access to reach the Joint Inspection, quarantine and immigration. Then claim your luggage. Then confirm onward boarding pass on Transfer Counter. Pass the security Check to reach Domestic Waiting Hall to wait for boarding.

Yes, you need to take your luggage from one terminal to the other for rechecking. You can use the luggage cart between two terminals.