I'm 19 and got caught shoplifting no police were called while I emptied out my purse and signed some papers. All the lady told me was that I will be getting a fine in the mail and as long as I pay it I will be fine and they let me go. Will this go on my record?

As the Police weren't involved NO.
Oh and any "fine" they send through the mail is unlawful and unenforceable anyway.

It depends what record you are referring to. The store will keep a record and if you are ever caught again in that store (or other stores of the same company), it may show up if they check. But you won't have a police record.

I have to disagree on the fine. Courts in Canada and the US have upheld the legality of these civil fines.

No there will be no police record, the store will keep you in their files.

The "fine" is what is actually a civil issue and not a real fine,it is a payment to the store for their time and trouble, It should be about 300 to 500 dollars, One of the tricks to this also, is if you don't pay, they may still call the police and file charges if it is still with in the statue of limitation.

Also most likely some of the papers you signed said you agreed to pay this.

The paper you signed is almost always an agreement to reimburse the store for the merchandise (whether or not it's returned), their time and trouble. It's upheld here in the States and Canada.

I can't address the issue in the UK.

You probably also agreed that you will stay out of the store and mall (if this was in a mall) for a certain period.

Pay the fine, seriously.
I work around law and they will press charges if you don't.
But no, it shouldn't go on your record if you do as asked by the Company.
If you don't, you will probably be taken to court, and I'd say most cases I've seen end up as 'Found Guilty' in this area.
And if you get caught again, then I can imagine they will not treat you so leniently in the future. So to sum up:

Pay it ASAP. Apologize as well if possible, it means they are less likely to press charges.

Do NOT do it again, or it will be court, a fine and possibly prison, I promise you.

All the Best.