Do you have a humid hide in the tank on the warm side? How do you have his tank set up; substrate, temperature, type of heat, type of thermometer?
You can soak him in a tupperware bowl with just enough warm water to reach his belly for about 10 minutes. While he's soaking (and after) GENTLY rub a Q-tip on the stuck shed...be oh so careful though. Don't try to force it off, just see if it will wipe off mostly on it's own.