Well, I'm sure you'll get a few stares and "ooh, how unusual" when you say that this is your baby's name.
But who cares? If you like it, go for it.
Personally, I think it sounds beautiful; and it's always lovely, I think, to be named after an interesting or feisty character from literature, folklore, or history.
I have a friend with a really unusual, and, at first hearing, frankly ridiculous name. However, she carries it off. She just does. When I first met her (or rather heard of her), I had to suppress a smirk at her hame ( not proud of that, but her name is really curious, for a name IYSWIM). But now I don't even think about it, except when I'm on baby-naming threads and people trot out this idea that some names are unworkable. IME, people make their own names work.
The only thing I'd say about Sheherazade is that your little DD will really struggle to spell her own name for the first couple of years of her life. I have a pretty average name (quite long), and it was a while before I could spell the long version (rather than the diminuitive, which is what I'm known by).