Shin splints. Is this a sign that I should stop exercise?

Yes. Shin splints are injuries to the front of the outer leg. While the exact injury is not known, shin splints seem to result from inflammation due to injury of the tendon (posterior peroneal tendon) and adjacent tissues in the front of the outer leg. Shin splints are a member of a group of injuries called "overuse injuries." shin splints occur most commonly in runners or aggressive walkers.
Yes. If you are having shin splints you need to back off from what you are doing and allow this to heal. Shin splints are really swelling in the anterior tibialis muscle. The muscle swells within the very tight connective tissue sheath and hurts. Ice, rest, stetching and avoiding the exercise that caused the injury is usually the way to go. If it continues despite these, or is severe, see a doctor!