What do you do when a soldier refuses to listen to your directions?

It's "Refusal to obey a lawful order".

There are a number of different ways to handle the situation. Try the less evasive method of extra duty if needed you can involve higher ups and possibly write the person up.

Remind him with extreme authority of his oat tho obey all orders of those appointed above him.

I'm responding as what I would expect. The person that didn't want to conform to uniformity would be out of my formation, doing every shit detail that I could think of for a while. From 16-18 hour work days to picking up only certain types of trash in a less then desirable area.
The true problem is the lack of respect... its going one way or the other and you're very vague in the situation that it happened. You should find out what's going on with the Soldier and address the issues in an open format, if that doesn't work then "yes" you have to keep it all written down. You should ask your PSG/1SG to assist in the situation. If they don't help then your probably goes further then just the formation.
You should tell the Soldier if they dont have a medical condition and that's not part of the uniform for formation to remove it, if they don't then bring it up to the squad or team and let them harsh them a little bit about it. We're all in the same game here, but it sounds though you have someone wanting attention or that has some major issues.

I'm reminded of Full Metal Jacket where Pyle gets caught with the jelly doughnut. This is the same case as Pyle is only thinking of himself, as the soldier is now. Punish the rest of the platoon or squad. Make the soldier the hate his/her peers have for them for disobeying a direct order and being out of regs. "Oh you want to be an individual huh? Alright, I got you. Everyone except private snuffy here, half right face." Continue this pattern until they as a unit fix it. If fixing it in house does not work, move to UCMJ and give private snuffy all the outside details so he/she has ample opportunity wear his/her AR breaking sun glasses. When asked as to why he/she is wearing them and not being corrected, simply state he/she disobeyed a direct order and that it is already started up the pole for article 15 proceedings.

You find this in the UCMJ. Disrespect to a Non Commisioned Office.

Smack then in the head with my magic chapter stick.

I heard you can't smoke soldiers anymore. Is this true? (I'm prior service Army) Cause if you can, that always seems to work. Or take his/her time, have them write you a letter. More importantly don't lose your cool in front of the whole group. Pull him/her aside after the formation and have a come to Jesus meeting. If they refuse, then it's game on with paperwork. That's what I do to my sailors but most of them respect me because they realize I actually care about them. There's always that one though it seems.

After issuing the lawful order to remove said glasses of the sun, they should be confiscated and returned after the end of the days business, preferably they will be returned to said SM in the 1SG's office.

A lawful order was being given, and therefore the item was not taken wrongfully. A good leader starts small in punishment, and only resorts to kicking people out after a series of insubordination or misconduct. But then...a good leader also leads by example.

Bottom Line Up Front,,,,
While sunglasses are authorized for wear in formation, it is up the Commander to allow it for uniformity purposes and other factors he/she dictates.
If the CDR permits them for wear? They must be comply to AR 670-1!!
As for the failure to follow directions??
YES!! Document it!!
During the counseling though., find out why there is a problem following orders??
Different leadership styles will say what type of counseling session is required,, but,, that style of session is fluid, which is to say, be ready to go from a direct counseling, to indirect based on issues the Soldier may be having??
Start it right though!!
Documentation!!
Hope this helps??