Nia Griffith said her party offers "investment in Wales, versus cuts from Westminster" by the Tories.
She urged people to "imagine the price" if there was a Conservative government in Wales as well.
"Labour changes peoples' lives when we are in government", Ms Griffith added.
She reinforced the message of First Minister Carwyn Jones, who told delegates on Saturday that the assembly election in May would be a straight fight between Labour and the Conservatives.
"Together we are fighting for Wales in Westminster and taking on the Tories' appalling treatment of our nation," Ms Griffith said.
"We need to tell families up and down the country about what our Welsh Labour government is delivering.
"Investment in Wales, versus cuts from Westminster - jobs for our young people, not leaving a generation behind.
"That's the difference that a Labour government makes. Labour policies promised then delivered because we are in government.
"So don't listen to those who say we should be happy just shouting from the sidelines, that principled opposition is better than political power.
"If we take that attitude we may as well shut up shop."
Ms Griffith pointed to Labour's establishment of the NHS, introduction of the minimum wage, and delivering devolution with the creation of the National Assembly.
Meanwhile Mr Jones has said income tax rates in Wales would stay the same as those in England under a Labour Welsh government.
He told the Sunday Supplement programme on BBC Radio Wales he would not use new powers to increase income taxes if Labour won the assembly election.
"People have a real squeeze on their personal finances and the last thing I want to do is add to that pressure," he said,
Scottish Labour leader Kezia Dugdale has proposed an increase of 1p in the pound for taxpayers in Scotland.
Labour makes a difference in power, not in "principled opposition", the shadow Welsh secretary has told the party's Welsh conference in Llandudno.