My advice is just build them without first, if they sound edgy or bright, or pick up excessive noise or hum then shield them. Good luck.
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A few has said the cables sound much better without a shield.One situation in which an unshielded balanced cable may sound best from a subjective standpoint is if the cable is driven by a component having particularly high output impedance. The lower capacitance that would probably result from the absence of a shield may result in greater high frequency extension in that situation. The longer the cable is the more significant that difference will become, since cable capacitance is proportional to length.
Another such situation would be if very low level high frequency noise resulting from ground loop effects results in a greater subjective perception of "air" and ambience. Small differences in the resistance of whatever connects pin 1 (the ground connection) of the two XLR connectors may affect that significantly, to a greater or lesser degree depending on the internal grounding configuration of the particular components that are being connected.
IMO, more often than not a balanced cable is likely to perform most accurately, i.e., to have as little effect on the signal as possible, if it is constructed with a pair of braided (twisted) conductors connecting pins 2 and 3, surrounded by a shield connecting pin 1. Of course, whether or not greatest accuracy is preferable from a subjective standpoint in a given system is another matter.
For a summary of the various shield types, and their advantages/disadvantages, see this paper:
Good luck. Regards,