Thought about relocating there a few years ago, was going to try and live in Conrad. Pretty damn little town, but at least when I was looking the places on the market that fit my profile (enough acreage to have horses and shoot on and run around naked) were very slim pickings. I know several guys who work in Shelby but commute from Great Falls because of their wives. It can be done, but I've heard it sucks.
Any place in MT is going to be better than most, but it is a windy bastard and if you're not used to any kind of winter it could suck. Personally I'd not live in Shelby, but rather someplace close yet further out. But as always, YMMV
