Coned Shetland is not washed, and therefore contains some spinning oil from the spinning process. It is perfectly fine (and economical!) to knit from a cone, but the knitter/crocheter/weaver should know that the yarn has not bloomed from wash and therefore appears thinner. This can be deceiving!
A great idea in determining your gauge is to knit your swatch and measure your gauge. Then wash it with wool wash in warm water (no agitation, allowing the water to cool before squeezing out the water). Once dry, check your gauge again. If you like the fabric and the gauge is to your liking, you have an idea of what the change in gauge looks like and what the final garment will look like once the spinning oil is removed.
A more time consuming but great alternative method is to turn your cones into hanks and wash out the spinning oil before knitting. This will require using a swift or niddy noddy, some patience, and probably a how-to video or two (YouTube can be a great resource here). Essentially you will be turning your cone into skeins, washing with wool wash, and drying your yarn. At this point you will proceed to make your gauge swatch post-wash.
Here at LBY we have used both methods. It's really up to the stitcher/weaver what they want to do! For more questions, you can email us at hello@liftbridgeyarns.com.