The same way as you would in a longer story, except that you're obviously not going to have the opportunity to show as many facets of your character's personality in something that's only a few thousand words long or shorter.
So which parts of her temperament are relevant to the story at hand and/or drive some aspect of the plot? If your character is a risk taker, it should show in the choices she makes (taking the less safe option), jumping into things where most people would be more hesitant and so on. And what are the consequences? Could her risk-taking tendencies be what gets her in trouble in the first place (starts the plot rolling), and could it also be what helps her solve her problems?
It's easy enough to show someone being shy too. What kinds of things do shy people do? Try to escape notice. Turn down invitations. Avoid eye contact. Stammer and blush when talking to strangers. Feel sick to their stomachs or have sweaty palms or a dry mouth (all those signs of sympathetic nervous system stimulation) when in new social situations. Tell themselves that they'll look like an idiot or that no one is going to like them. Hang back or make excuses when someone invites them somewhere. Speak in a soft, uncertain voice, or just not know what to say to people at all. If she's interacting with strangers in the story, shyness will likely come up organically. If she doesn't interact with people she doesn't know well, it may not come up at all. Or maybe she makes a choice to avoid something because of her shyness, and that influences the plot too.
Any or all of these may apply to your character and her situation in the story.
Short stories take place over relatively short times (usually), so chances are, many aspects of your character's personality won't come up at all. If it doesn't come into the story naturally, there's probably no benefit from telling the reader "she was always shy as a kid," or "Her favorite food is potatoes au gratin."