Do you mean the driveline protection shear pin (pickup, roll the bale and wrap it) or the overfill protection shear pin?
For the driveline shear pin, check the type of pickup that you have. Make sure that you have the correct shear pin for the pickup (wide or regular). Also check the year of your baler, there are substitute shear bolts available that do not work on a range of the 853 baler. New Holland has a parts list for the baler on their site. Start at http://partstore.agriculture.newholland.com/us/
and use the Look up parts by equipment on the left of the page or see your manual. Next check the air bag pressure. (Make sure that you are in the operating range with a regular pressure gauge. It's possible for the gauge on the baler to read low.) If the pressure is out of the operating range, the roller bars can hit other parts of the baler and cause the shear pin to break.
If your baler uses net wrap, make sure that the wrap isn't caught in the unit. (If the knife doesn't cut the net wrap, it will get caught in the tailgate and the rest of the baler. If it tears in use, it may wrap around the pickup and cause the shear pin to break.) This may apply to twine as well but I do not have experience with it happening with the twine tied 853 baler.)
For the rest of the checks, you will have to remove any bale that is in the baler. If it is large enough it may roll out even if it isn't wrapped when the tailgate is up (try driving up hill). Otherwise, you need to pull, cut or pry the bale out. Standing on the kicker can help the bale roll out if sufficient weight is added. We've found that a spare bale spear works well. Removing the hay in small sections can also work.
What is the moisture of the bale? If the bale is too wet, it will be too heavy and shear the pin before the bale chamber is full.
Next check all of the roller bars in the unit. If any are bent significantly, that one can hit another part of the baler and break the shear pin. It's possible to straighten some of the bars out depending on the damage. If the bar is S-shaped or severely bent, replace it. (Your New Holland parts store may have someone who will demonstrate the technique for bar straightening. It involves hammering the bar straight when it is securely held in a vise. If you can hold the bar safely, I've also seen a bucket on a front-loader straighten the bars.) If a rock gets past the windrow guard, the bars can get bent.
Check that the chains are centered and that none of the gears are shifted to narrow or wider paths in a spot. (There are bars that can be adjusted between two sets of gears near the top front of the baler. Loosen the four bolts and push the parts closer or pull them farther apart.) Check that none of the bearings for the apron motion are frozen or damaged. Replace or repair anything that is damaged.
Do not make the bales too large or uneven. (If you have a Bale Command unit on the baler, it is easier to control the even formation of the bale.)
For the overfill protection, make sure to reset the unit after replacing the shear pin. It can be tough to pull the trip arm fully back. Make sure that nothing is in the tailgate. If your baler has a kicker, make sure that that the two springs on the sides are undamaged and holding the kicker level.
I hope this helps.
(my 853 baler with the wide pickup uses Driveline shear pin 46520 and Overfill shear pin 46047. I'm not sure of the year of the unit. When we got shear pins with a different number, we broke 3 or 4 in a row before realizing that we'd gotten the wrong ones; they were noticably thinner than the required ones. Roller bars are what I call the bars between the chains and we've replaced/straightened many of them.)