We often find that if we use the above key combo we end up just making our phone go to sleep, or we take a screen shot, which can be frustrating, so we prefer to follow these steps to shut down our iPhone:
Press the up volume switch.
Press the down volume switch.
Now press and hold the Side button.
Your iPhone should now show you the power off slider. You can swipe this to turn off your iPhone.
To turn the iPhone back on press and hold the Side button again.