Strain the contents of the pan through a small strainer to remove the shallot, which should be discarded. Pour the liquid back into the pan after wiping round it quickly with absorbant paper.
Straining the sauce doesn't really affect the flavour but it improves the texture, making it smoother and glossier. However, it is not absolutely necessary.
Note: if you wish to prepare the sauce a few days in advance of use, the liquid at this stage can be kept in the fridge in a sealed container.