It was the Ayrshire side's third win from three games against the Edinburgh club in the Clydesdale Bank Premier League this season, with Heffernan being the second Killie player to net a hat-trick at Tynecastle.
Shiels was also delighted with the way in which his side played their football despite the difficulty of implementing such a strategy at this time of year.
On Heffernan, he said: "He's got the chances and he's put them away and you have to give him credit because you look at what he is playing against. There are three international defenders in there."
Shiels added: "It was a good outcome and the boys have showed good character again. To beat a club the magnitude of Hearts three times in one season is a terrific record for the boys.
"What you get in February every year is pitches that are not as fluent. That means there is a reduction in the passing volume you can achieve in the game.
"I was pleased with the way we passed it. I think we counter-attacked well. The dove tail in our co-ordination of the movement was outstanding."