Is it both necks? It's better and easier to put a shim in the neck pocket. It won't need to be very thick at all, because you get roughly a 5:1 increase in height at the bridge compared to the height of the shim. So a standard 0.6mm thick piece of veneer should give around 2.5-3mm extra height at the bridge, allowing you to raise the bridge slightly and set your action. But as Kick says, check the neck straightness first. If there's a significant concave bow in the neck, then straightening it so there's only the hint of of a concave bow (trussrod turned clockwise when looking down the neck at the body to straighten the neck) may give you all you need without the need for a shim.