What really helps me "swap shot" (what I call it) is to remap your mouse wheel to weapon slot 1 & 2. It doesn't matter if you make wheel up 1 or whatever, but how I do it is I set mouse wheel up to weapon slot 1, then wheel down to weapon slot 2. I put the weapon that I want to shoot with double swap as slot 2 so I can simply flick my finger up then down to get that nice and easy movement to get muscle memory down.
The main reason to remap is because using "previous wep/next wep" has a slight delay so that switching back and forth will take longer. This also helps normal swap shots because it speeds up the switching animation so you have a bigger window to shield cancel.
If you're still having trouble, what I found was that when I first started double swap I would hold shield too long so that when I clicked shoot my shield would still be up. Just get used to the timing of when your shield goes up after shooting (it may vary for different guns) and try to shield for as little time as possible.
I'm having trouble with switching guns fast enough to carry out the shoot>cancel>switch>switch back>repeat process of double switching, do you guys have any tips on using it effectively? I'm fine with the shoot>switch>shoot different gun>cancel>switch>repeat of single switching, but my mouse scroll refuses to go with the double switching with my current method of scrolling, while keyboard switching doesn't seem to work for me with my current method.