I'd say the most famous shield wall is the Roman 'tortoise', and the most viewed is modern-day riot police. Of course the Anglo-saxons made very heavy use of it too, the Battle of Hastings lasted all day because of their use - they are excellent defensive formations.
I've been part of saxon shield walls, the trick is to lap your shields, wield your spears well, be fit enough to 'keep it up' and stay put! Staying put is really important, you can move, but everyone needs to move at exactly the same time and rate, which is difficult to do.
If you can stay still, and have the strength to keep it going, you can hold back an enemy for ever. Losses in the wall can either be replaced by new people stepping forward, but if you don't have them, it is quite easy to close the gap by shuffling sideways - though this depends on the length of the wall. If you haver 4 or 5 people, you don't have a problem here. For larger shield walls, a breach is often opened up further straight away, in which case the whole thing falls apart, when we fought like this, a breach meant draw swords and engage, but we were doing it for fun.
You can make a wall with 4 or 5 shields, but obviously be wary of flanking attacks, your wall will fall apart if people get round you, but then you'll be pulling swords to fight them back.
When to use it? all the time, as a default action. When I fought with them, we trained to form the wall immediately there was trouble, this gave us a defensive position from which we could evaluate the danger. So train in forming it, you can always drop spears and break to fight from that position, so it's not a problem to form it, but you have to be able to do it almost instinctively.