Packaging a small electronics project
I see why you are using heat shrink in order to be able to position the magnetometer close to whatever you are measuring however have you made sure that you have got the right diameter heat shrink. By my experience you only get around a 40% decrease in diameter of the heat shrink tube when you, well, heat it. This means you can end up melting your heat shrink and it still not have it tight around your project. A cheep and easy alternative might be a snap lock bag?
Apart from that I don't really see any issues. One method you could use to prevent the heat shrink breaking anything is hot gluing the whole project fairly tightly in place beforehand so that nothing can move. Just make sure that when you are heat shrinking you heat the whole thing gently and evenly.