Shag usually with "bag" is a cylindrical tube with a cloth top for holding golf balls when retrieving from the range.
A word meaning to fetch; used particularly in the sport of baseball in reference to players who retrieve balls hit into the outfield during batting practice.
The term shag or shagging is also used in New England, Boston North, to refer to the act of retrieving shopping carts from the parking lots of retail and grocery stores. "Can you go out and shag the lot?"