Hi Jacob. If your goal is just to convert the data from SDE to shapefile, I'd recommend Feature Class To Feature Class or Copy Features. Copy Features (management) can be used as well but lacks the field map controls and some of the other options Jake mentioned. This is important to consider due to the field length limitations of a shapefile (11 characters I believe). So, if you have lengthy field names in SDE they may be truncated in your shapefile.
Copy (management) is fast, but can only write between the same format - so no converting from geodatabase to shapefile.
Of course, if you need to visualize the data in ArcMap first, then "export data" from the TOC is fine. It just involves a bit of extra clicking!
Micah