SOED: shake a leg (a) make a start; hurry up; (b) begin dancing.
Langenscheidt: shake a leg a) ugs. das Tanzbein schwingen, b) sl. ,Tempo machen'http://www.phrases.org.uk/meanings/shake-a-le...
Shake a Leg - Meaning
Rouse yourself from sleep and get out of bed.
Shake a leg and show a leg are usually discussed together, but it isn't at all clear that they are in any way connected. Both phrases have more than one meaning. So what were their original meanings and which came first?
We now sometimes use shake a leg to mean 'hurry up'. It was explicitly defined that way in the New York Magazine in 1904:
"Shake a leg ... meaning to 'hurry up'."
The more recent UK phrase 'get a legger on' is another way of saying the same thing. Before that though shake a leg had another meaning, which was 'to dance'. There are several citations from various US and UK sources from the mid 19th century that relate to dancing. For example, the Dubuque Democratic Herald, October 1863, in an advertisement for a local ball:
"Nearly every man in town able to shake a leg has purchased a ticket."