I have a couple of on-line friends on the other tegu forums that have gone through the same thing with their tegus....really bad sheds. They couldn't pinpoint an exact problem, but this is what they have been doing:

1. Quit using all OTC shedding aids.
2. Soaking in a bath then applying olive oil or mineral oil to skin.
3. Making a humid hide box with most towels, but the box needs to be kept at temps of 90. This was the advice of one member's vet as her tegu started to get respiratory issues from high humidity and low temps.

I would also recommend adding a bit of cod liver oil to the diet and vitamin supplements. Fruit and veggies are best way to keep vitamins, but not all tegus readily eat them.