As WHunter's link will show you, changing the shut off device can be a very risky proposition if not done properly. That is good advise if you do have to reoplace it (they sometimes allow engine oil to get sucked up into the vac lines too so be on the lookout for any oil in the lines, they should be dry!)
rhodes2010 covered this already and did a very thorough job of it too!
I was preparing this text when I saw that post so I hope I'm not confusing you or usurping anypne else's points.
If you don't want to spring for a Mity Vac, you will at least need a vac gauge, these should be available at the tool section of a decent car parts store. An inexpensive one is all you need.
Check the vacuum at the line going into the shut off element (rear of the IP) and turn the key to the off position with the car running and see if you don't get good vacuum (-15 or better) if its hardly metering anything then you have a vac leak in the system (called the Central Locking System in the FSM).
If your door locks are pulling down slowly or not at all, then that is a good indication that the vacuum is low or not and that means near the source, so the vac lock is on the same branch roughly.
Main Vacuum is sourced from a large plastic line coming from the vac pump. It has small nipples that get busted off easily, like when doing an oil change
Near the firewall it tees-off thru a one-way valve (yellow cylinder with three nipples on it) and there are plenty of places in that area where a vac leak can occur and cause several things not to work, including the shut off valve and door (and trunk and gas flap) locks.
By looking at these clues you might save yourself a lot of grief in changing the shut off device (It has been called a real PITA by more than a few people!)
If necessary plug some other lines that feed the door locks temporarily and see if that is where a leak is bringing down the entire vac system.
Just be sure to put any hoses you take off right back where they were or you'll be in worse shape then just having an engine that won't shut off!