In System Preferences, Security & Privacy, General, allow apps downloaded from Anywhere. Run the scripts once. Then change the setting that you changed so that it's back to what it was before.
You can also right/control click the script and select "Open" -- and then approve it for running. Saves having to temporarily disable security settings.
The scripts should run fine in 10.10.1. Only the first time you run them you will need the 'open from contextual menu' trick because the scripts are not code signed. (The same for SheepShaver.app itself, btw.)
From which SheepShaver download did you get the scripts? Which unarchive application did you use to decompress the .zip archive?
The commands that are used in the scripts can also be used in Terminal:
For "Delete Prefs File": rm ~/.sheepshaver_prefs
For "Zap PRAM": rm ~/.sheepshaver_nvram