Not sure how it is on other android boxes but on the Fire TV it
has an app for IPVanish you can just search for on the box and install, you might have to install via ES File Explorer for some other providers but it's easy enough. Then you sign in, choose the server location you want to use (has them all over the world) and hit connect.
If i remember right i had to change the protocol setting on the app to UDP to get good speeds, on it's default setting it was really slow.
No you can't change settings on the SH's for a VPN unfortunately, you'd need your own router for that.