If my players decide they don't want to go back to Sheila every time they find a shard to have the proper ioun stone fitted, is there an appropriate skill and DC to figure out the proper stone themselves?
Well, after Sheila finishes her research, she can just tell them ahead of time which ioun stones are needed. Otherwise I imagine it would require a few days of research at an appropriate library with high DCs at least, say a day of research and a DC 30 Know: Arcana or History for each shard?
I'd figure though, getting the stone for free and any additional help the Heidmarchs or pathfinders can give is certainly worth a trip, and in most cases they'll want to head back to Magnimar to sell and buy loot, as its the best centre to do so, apart from when they're in Kaer Maga.
I think it's written in the AP chapters that Sheila gives the group the relevant ioun stone before they embark on the next quest. It's still expected they'll go back to Magnimar after they've found a shard, though. If they don't, I'd probably assume they need to succeed at a DC 25/30 Knowledge (arcana) check to know which ioun stone counters the shard they have just found.