Typically, steering wheel shaking is due to tire balance issues. Based on your brief description of the problem, this is most likely the problem. It may feel fine at low speeds but becomes pronounced as you go faster. You say you experience it in 3rd before going to 4th, so you are already at speed, does it continue in 4th gear and up? Maybe you've lost a wheel weight? A quick stop at a tire shop to balance your front tires should help. It should be inexpensive to balance a tire but if the tire has worn unevenly it will eventually need to be replaced instead. A poor alignment can cause tires to wear unevenly and cause other issues such as pulling to one side. When the tire shop takes off your tire to balance it, they will be able to tell if there is an alignment problem based on the wear pattern.