I'm not sure about how much it's really helpful to be honest. I use different methods to reinforce my languages, I tried shadowing too but I always forget it. Meaning that my brain doesn't find it very useful. But sometimes I do it just for fun with few words here and there, when my brain pick them up and find them funny.

And btw, shadowing is not easy at all to do it, and it's not just repeating a sentence that you have just heard. It's been able to listen and repeat almost at the same time, something that could be productive if you're at least an intermediate.

Yes. I recommend shadowing with English learning videos when it comes to my beginning level students.

While we’re here, can someone explain what it is and how to use it? I can sort of get the gist from your comments, but not how to do it successfully.

Yes, it absolutely works, and it works fast, in just minutes a day. I’ve been doing different versions of what is now called “shadowing” for decades. But it only works if you do it right. For example, the difficult technique Davide mentions is not at all appropriate for beginners, and will actually be counterproductive. Every learner needs to tweak the technique to his or her own situation at a particular stage of learning. Shadowing is incredibly powerful for mastering pronunciation, but most people don’t know what to listen for. It would pay big dividends if you were to first learn everything about the phonology of your target language, including the proper use of your articulatory organs to make the sounds, before going on to active listening practice.