Strange, I have never seen a report like this.
Let us see if a prefs file is created and if so, what its contents are.
After deleting both files (yes, "Zap PRAM" will delete the .sheepshaver_nvram file), follow the setup procedure as described in the guide. After saving the prefs and after SheepShaver has crashed, open Terminal (in /Applications/Utilities/) and type:
followed by a return (and do not forget the leading dot in the name).
If the file exists, it will open in TextEdit. Copy all content and paste it here.