As far as socketing your shako, yes a lot of people do, especially if you're a MF fanatic.
The new patch allows unique armors and weapons to be upgraded (normal to exceptional, exceptional to elite). Shako's cannot be upgraded since they are already elite items, but for other items, the recipe is as follows:
To make a normal unique weapon exceptional: 1 Ral/1 Sol/1 Perf Emerald
To make an exceptional unique weapon elite: 1 Lum/1 Pul/1 Perf Emerald
To make a normal unique armor exceptional: 1 Tal/1 Shael/1 Perf Diamond
To make an exceptional unique armor elite: 1 Ko/1 Lem/1 Perf Diamond
Examples of normal to exceptional to elite would be:
Cap to War Hat to Shako, or Crystal Sword to Dimensional Blade to Phase Blade.
If I messed up the cube recipes anywhere, someone please let me know, but I think they are correct.
Edit: I forgot to mention that you can do this with rare items also- not just uniques. The cube recipes are different, but I assumed you were talking about uniques.