You didn't mention the voltage range of the device, and I assumed it had some regulation and could handle a 2V drop. Maybe battery powered, such as nominal 4x1.5V or 12V. But if your device runs at 3V I agree 100% with that value being a problem, in which case dropping to 0.1 Ohm might be an option.
100uV is trivial for a 6.5 digit DMM, 10uV is pretty easy with just some sanity checks, and even 1uV is possible if it's decent. The DMM can autorange between 100mV/1V/10V without interrupting the supply.
Thermocouple effects are not much of an issue because you have the same number and type of connections going in as you do out. But ideally still build a shunt configuration that is not going to get warm.