When you have caught your child doing something wrong and you notice that they are already very ashamed, there is no need for consequences. The shame is usually more corrective than consequences are. Usually in this situation I talk to the child and we work out a better way for next time. Frankly, I forgive them. This builds trust and I also believe it teaches about forgiveness and mercy as well.
Of course, many times children are just sorry they got caught. This would be a time to give them a natural type consequence. But if it is the first offense, and you notice that the child is extremely sorry, I think that the memory of how they felt will change behavior much better than punishment. (This will also depend on the child's personality, so use your best judgement).
By the way, never purposefully "shame" your child in front of others, or even alone. This will destroy trust. Treat them with love and respect, and talk them through their problems, teaching a better path.