Jafreeman: What you need to do is check your equipment. I have Wadia equipment, and if I remember correctly, the XLR output connectors only have wires to pins 2 and 3, and nothing to pin 1. If there IS a wire to pin 1, however, and you still want to shield the cable, then you need to connect a third conductor wire (i.e., NOT the shield.) It won't hurt to connect the shield between pins 1 and 1, but then you're using the shield as a (signal ground) conductor, and not as a shield ;--)
To sum up, the Wadia (probably) has a pseudo-balanced outputs. So if there IS a wire to pin 1 of the output connector, then it's (probably) your normal chassis ground, and you should connect the shield to pins 1 at each end of the cable, in order to connect the grounds of the CDP and the amps together. You rarely see, even with truly balanced equipment, a situation where all three pins are connected by conductor wires AND in addition, a shield is used to connect the chassis grounds (the XLR barrel) of both components. The reason that possibility (3 pin + chassis ground) is provided, is for use in long runs of microphone lines, where the pin conductors are sometimes also used to supply DC to the mics. But for your puropses, you don't need to worry about that. BTW, you didn't say what kind of amps you have. It might help to know whether they have truly balanced inputs, like a BAT, or just pseudo-balanced inputs like many of them do.