Mistakenly sold Ebay item with slower shipping BUT shipping I chose is $30 more than what seller paid, seller wants refund, what do I do?

Give them the refund.  If they can't wait, so they are going to have to buy it someone else, or they won't be able to use it when it delivered, then what they are getting from you is worthless to them, and it's not fair for them to be out any money because of your mistake.

No, they didn't get a great deal on shipping.  

You made two errors:

1)  You shipped incorrectly;

2)  You quoted wrong price

Either of those things were likely to be a deal-breaker for your customer.

Several options:

Have the buyer return the item to you at your expense for a full refund

Offer to let them keep it and you will refund for the shipping

"Normally I would offer a partial refund for shipping"    The buyer didn't get what they paid for which was three day shipping.   IMO you owe them a refund.  The fact that you undercharged them is your problem.   You can't up the price after the transaction has been completed.

Did you ask the buyer if they have a remedy in mind?

I do some ebay selling, I know once you hit over a pound shipping cost gets costly, I usually do priority flat rate shipping,  if it fits it ships, if it's a large and heavy item I compare prices with FedEx ground.

 Better to get a printer, a weight scale that does ounces and pounds, measuring tape, I believe its cheaper to print out labels then going inside post office/FedEx/ups. If your a new ebay seller you can do bill me later on shipping labels. 

You can order flat rate priority mail boxes from usps for free, 

Large flat rate around $20 to ship 

Medium I think around $13

Small around $8

Padded flat rate envelope around $8

small items under 13oz around $4 first class mail 

Books, DVD lots you can do media mail only a few bucks to ship, in posting tell buyers media mail shipping take a week or longer for delivery. 

If your buyer request refund just issue refund with an apology, your a new seller that's made a mistake on shipping cost.  Realist item with correct shipping cost.

You are the seller and it was you who advertised the shipping speed and price. Since the error was totally yours, you ethically owe a rebate and the customer may file a complaint with Ebay if you do not.