How should I do this? Shape keys? Also, how do I keep the eyelid from going into the eye?
You, good sir, have perfect timing! 
I just posted this tonight: http://blenderartists.org/forum/showthread.php?t=186023
Good luck!
The eye rigging for my Othello face rig uses the Shrinkwrap modifier to keep the eyelid surfaces from intersecting the eyeball. It also pretty much ignores as irrelevant the linear nature of the vertex movements involved in the eyelids closing. This can be adapted to shape key actions as well, I’m sure.
@chipmasque - when you got the time, can you please take a look at my thoughts at the end of the other eyelid thread Senshi posted a link too… I was just thinking about an idea, and posted it there…
Thanks,
Randy
Ok, thanks guys! I’ll try it out! 