A shim works OK to increase the depth of a saddle (indeed several manufacturers put shims under their saddles to allow for subsequent set up adjustments). A piece of plastic cut from an old credit card works fine - you can either just sit it in the saddle slot under the saddle or stick it to the base of the saddle with some superglue.
Another (very good) method is to use Mexican Clay. This is a self-hardening modelling clay available in most craft shops. You just roll out a thin layer (~1mm) of clay, cut out a strip the same size as the base of the saddle with a razorblade and pop it in the slot with the saddle on top. String up the guitar and leave overnight for the clay to harden. The clay forms itself to the profile of the slot base and the saddle itself so you get a perfect contact between the two.
The clay is also great if you have an electro-acoustic guitar with an under-saddle piezo transducer - a thin strip between the base of the slot and the transducer and also the transducer and the saddle ensures a perfect contact and improves the amplified sound.
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