Mark spots to drill in the mortar joints between the brick. Mortar is less likely to split than brick once the lag bolt is inserted and easier to fill if you later remove the bolt.
Fit your hammer drill with a masonry bit that matches the diameter marked on the lag shield. Wrap a piece of tape on the bit, or put on a drill bit collar, to the depth of the lag shield plus an additional depth equal to the width of the lag bolt. This makes a hole deep enough to accept the lag shield and to account for fact the bit creates pointed rather than a flat-bottomed hole.
Blow the dust out of the hole with a turkey baster or canned air. Close your eyes if you blow the hole out yourself to keep dust out of your eyes.
Press the lag shield into the hole until it is flush with the surface. Lightly hammer it if necessary.
Position the fixture you are installing, such as a shelf bracket, against the hole. Insert the lag bolt. Tighten the bolt with a socket wrench, without overtightening.