What to do if I was arrested 2 days ago for shoplifting and charged with a felony?

Generally, the first setting in a criminal case is to make sure that a defendant knows what they are charged with.  The judge may also inquire on how you would like to proceed with your case and whether or not you have an attorney.  For preliminary settings, you can (and should) enter a plea of not guilty.  If you decide to enter a plea bargain later, you can always change your plea.  From there, the court will usually give you additional time to hire an attorney.  The case will be reset a couple of more times.  If you can not work out a plea agreement with the prosecutor, then your case would be set for trial.

Prior to your first setting, there are a couple of things you can and should do.  The very first is to try to find a criminal defense attorney to help you-- especially if you are facing a felony punishment.  As a first time offender, you want to avoid a felony conviction that will haunt you for several years.  A good criminal defense attorney can help you negotiate a deal that will not impact your life too bad. 

Also prior to court, you should look up the court and judge where your case is pending.  Some will post local or court rules online.  Knowing these rules will help you develop a better rapport with the court.  Rules can include simple things like no hats or leaving your cell phone in the car.  These rules vary by court and jurisdiction.  Sometimes these sites will also give you a little insight into the judge that your case is pending before.  If you cannot afford an attorney, some judges and court clerks will have links that you can use for getting started toward the process of requesting a court appointed attorney.

This is your basic prep.  If you are a first time offender, it's not likely that you will be sent to prison considering the nature of the charge that you describe.  However, it still helps to have an attorney get you through the process.  Just like in every profession, there are good and bad attorneys.  As a general guide, no attorney can exactly guarantee you what will happen-- they can only tell you what has happened in similar cases.  If an attorney is offering huge results for a huge price, consider visiting with at least two other attorneys to get their perspective.  As you are visiting with these attorneys, you will want to discuss payment options (payment plans, do they accept credit cards), the nature of the judge your are before, the facts of your case, and any diversion programs available in your jurisdiction.  If you cover these areas, you will have a better feel for how the case will proceed with this judge.  It will also help you decide who is actually the most interested and most competent attorney to handle your case.