Which event I have to use? I have need to store product wise shipping tax.
As per my understanding I think you have to use Magento extension attribute feature
If you want to learn how to use Magento Extension attribute then I think you can go through with this link :
In your case in extension_attribute.xml of your module you have to add code like this, this is the sample of gift_message column at order item level
<attribute code="gift_message" type="Magento\GiftMessage\Api\Data\MessageInterface" />