How do I treat nerve damage in the shoulder without going to physical therapy?

Surgery/nerve stim. Your problem may fall into a surgically managed category and then you may get it fixed that way if you are wiling to go for surgery. It would be advisable, though, to give physical therapy a chance to work on the nerve, since the outcome of surgery may not be 100% predictable. Also, nerve stimulation, tens unit, may turn out helpful for some patients, but if there is treatable problem treat it 1st.