Assuming that this is the same Shogun as I have had for many years, I would say that the key is to always use your daimyo armies to the full AND then make sure they are safe at the end of the turn.
Defending borders with non-daimyo garrisons and castles can be expensive and yet ineffective. A better defense is the threat of counterattack by your own daimyo. And a better use of castles can be to provide your daimyo army with a safe haven.
The loss of a daimyo army is a significant set-back. The biggest threat is a two or more daimyo attack on one, so always beware this from your opponents and try to create such a possibility for you.
Lastly, the fluid alliances of this game make the diplomatic aspect critical. If any player looks like winning, it makes sense for the others to gang up on him/her. So if you can surprise your opponents with the win, so much the better. For example by going first. Or by taking out an opponent.
Enjoy your next game AF! :-)