Do I need to set up SPF and DKIM records?
SPF and DKIM records are little bits of information you set up with whomever you bought your domain from (GoDaddy, for instance). These are part of your DNS settings and help email services trust your sending as legitimate.
For Google sending:
Mailshake doesn't actually send emails itself. Instead it simply tells Google to send your emails. This means that your SPF and DKIM records for Google will work with Mailshake sends.
For SMTP sending:
Yes. However, these settings won't be specific to Mailshake, they'll just be part of setting up your email domain. Check with your email provider as they will have specific help articles to walk you through this set up process.