Anyone know about making shielded phono leads?

I want to use the new Golden Dragon interconnect as a phono lead from my Graham to the line stage. Eventually it will probably be best to solder directly to the mini-DIN connector on the arm, but I have the Graham RCA connector box and am trying to work with that first. So far, running the interconnect through a braided wire mesh shield grounded at both ends just is not working at all. Way too much hum, with hideous shrieking noises sometimes if moved the wrong way.

Does the shielding need to also be soldered to each channels ground? Do the channels need to be shielded separately? Looking at the Graham adaptor box it seems they just ground the shield at each end. Maybe its important to run the shielding completely to the end of each run, to where it connects to the RCA? Help!