Do termites shed

no - BUT they do shed their wings as a group (left in neat little piles) and sometimes people see one that has been dead for a long time and all that's left is their shell - it looks like they have shedded.

Actually, they DO shed. That is how they grow. Roaches, earwigs and many other bugs do the same. Some of the most effective termite chemicals actually stop this proccess and that is how they die. It's a real painfull death