Supplied stepper motor cables are shielded. 4 conductor with drain. Interestingly the instructions do not have a step for grounding the drain. I did.
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I wish I’d known this… oh I don’t know… any of the 3 times I’ve completely wired the machine from scratch… 
Serious question though: If the wires are hitting a terminal block (like the steppers) what do you do with the shielding? The initial cables from the motor to the terminal aren’t shielded, they’re just 4 individual wires. Then there are short runs like the one through the gantry. What do you do with the shielding there?
One of the most difficult things to teach beginning engineers is that “good” is good enough. You can always make things better, but there comes a point where you don’t get much gain for a lot of expenditure.
The bottom line here is that if you are not having any problems with your machine, then just enjoy it.
If you have a problem then there are solutions to be had.
More to your question. Yes, in theory, you would shield the wiring from the motor to the terminal block (also you would shield the entire terminal block as the wire connections to the terminal block are unshielded - this can go on forever).
The shield on the run through the gantry would be connected to the shield on the other Y axis motor wire which runs to the gShield and that shield would be connected to ground.
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Right, so the idea is to have a continuous connection from the motor to ground. Where on the motor do you connect the shielding? I only have 4 cables and no ground wire. Does the shielding connect to the motor case itself?
I’m enjoying my machine just fine. However, when I wired up the homing switches so long ago, and accidentally enabled hard limits in the grbl config one time, I was chasing ghosts all afternoon when the EM noise from my spindle was tossing false positives down my switch wiring. I’ve since figured out the problem, but it would have been nice to know to connect all the shielding together and to ground it way back before I wired the machine up the first, or second, or third time 
That’s all!
You only connect the shield on one end, so you would not connect the shield to the motor, but the shield would be continuous from just before the motor housing to the ground connection back at the gShield.
I have the original 24 volt spindle, so I used shielded wire for the spindle as well as the stepper motor and homing/limit switch wiring.
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you beat me to it Larry. Yes, you should only connect the shield wire at one end. Preferably the head end where they all come together and you can then ground them.
if you connect both ends you’re basically going to create an antennae and you’ll find yourself getting zapped alot.
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That’s why experienced engineers get the big bucks. They save their companies huge amounts of money not chasing the ultimate solution, when an adequate one can be had for a lot less money.