In a medium saucepan over medium heat, combine white wine vinegar, water, sugar, and salt. Bring to a simmer and then stir in mustard seeds. Turn heat down to medium-low, and cook until seeds are tender and look a bit plumped, about 30 minutes. Stir in shallots and remove saucepan from heat.

Let mustard seeds cool to room temperature, then transfer to a jar with a lid and refrigerate. When stored in an airtight jar and kept refrigerated, pickled mustard seeds will keep well for up to two months.