RE: LV's & Shadelon's Trading Shack (Now with 2 Pokémon Auction's going!)
Shaymin will NEVER stay in Sky Forme when traded. It can only transform into Sky Forme if you get the Gracidia flower in your game. I don't know how to do that in HGSS. But Shaymin, Giratina, and Rotom all revert back to their original forme when they even enter the wifi room. I'm sorry, but for Sky Forme you will have to get the Gracidia Flower in your game.
Read this page: http://www.serebii.net/heartgoldsoulsilver/forms.shtml That explains all about each of the form changes for HGSS