Seyi George Olofinjana put Wolves ahead, converting Mark Clyde's centre, before Leigh Bromby equalised with a stunning volley.
Carl Cort then scored for Wolves from close range but three minutes later Paul Thirwell equalised after a dangerous cross from Andy Liddell.
Shaw converted another cross from Liddell with minutes left but Lescott then bundled home Cort's flick.
Wolves caretaker-manager Stuart Gray
"Overall I thought we had the better chances in the game and when you score three goals away from home you expect to win the game.
"I'm disappointed with the defending. Sometimes it's the second ball you have to defend and unfortunately on a couple of occasions we didn't do that.
"All credit to the boys because they stuck at it and deserved a draw, maybe even a win."
Sheff Utd: Kenny, Bromby, Morgan, Jagielka, Harley,
Tonge (Montgomery 79), Thirlwell, Quinn, Liddell,
Gray (Beckett 76), Shaw.
Subs Not Used: Geary, Wright, Forte.
Goals: Bromby 28, Thirlwell 53, Shaw 72.
Wolverhampton: Oakes, Clyde, Lescott, Craddock, Kennedy,
Cameron (Seol 81), Andrews, Olofinjana, Cooper, Cort,
Sturridge (Miller 75).
Subs Not Used: Naylor, Newton, Murray.
Goals: Olofinjana 7, Cort 50, Lescott 87.
Ref: L Mason (Lancashire).