Q.  What happens if you do damage to a shaken opponent?

A. This is probably the single hardest thing in Savage Worlds to get right, mostly because the example combats in the book — even the Deluxe book — don’t do a good job of elaborating on the “multiple wounds while shaken” scenario. My lunchtime group did this wrong for years.

If the target is not Shaken

* A success on the damage roll = Shaken
* 1 Raise = 1 Wound and Shaken
* 2 Raises = 2 Wounds and Shaken
* 3 Raises = 3 Wounds and Shaken
* And so on…

If the target is Shaken

* Success = 1 Wound and remains Shaken
* Raise = 1 Wound and remains Shaken
* 2 Raises = 2 Wounds and remains Shaken
* 3 Raises = 3 Wounds and remains Shaken
* And so on…

See this thread on StackExchange and  this official post from the forums.