I will arrive on China Eastern and need to connect to Shanghai Airlines onward to Bangkok.

Well, if you purchased the interline tickets, the transfer procedures are simple. Afer arrival, confirm the onward boarding pass, check-in - Quarantine - Immigration - Security Check. Then go to the International Concourse and wait for the next flight.
If you are just the normal international passenger, the steps are the following:
Joint Inspection & Quarantine & immigration - International Luggage Claim - Go to the Transfer Hall - Internationl Concourse on 3F.
I'm not sure about there is the special transfer passageway for business class customers. So you are suggested to contact your airlines and confirm the information.

Thank you. I learned that the bags will be checked through to my final destination but I'll have to obtain a boarding pass as PVG. if I need just the boarding pass, will I need to enter China (through customs) to get it or can I get it from a China Eastern transit desk?

You can get the boarding pass at the transit desk. Don't worry! :)