My company is going to be audited and my boss wants me to shred important financial documents before the IRS can find them.
Really? I think it might be illegal to destroy financial documents like that. Why would you do that?
The government might shut my company down and my boss wants me to do this to save my job.
Financial documents are crucial to the success of an audit and it is wrong to tamper with them or otherwise hide evidence of wrongdoing by destroying them. Forensic accountants can still uncover evidence of financial malfeasance and so shredding financial documents will not do anything to save you if you have committed fraud. Instead of trying to hide things from auditors, work with a lawyer to remain within the bounds of the law and not do anything that will worsen your situation.
I don't want to get a lawyer involved, I just want to save my job and follow my boss's orders.
You should tell your boss you're uncomfortable doing something so unethical. I think you should ask yourself if you really feel comfortable staying in a job that would ask you to do something like this. There are many good jobs available and I think you would be happier if you left the company.