Dear All,
It seems to me that this is actually a pretty straight forward question, it doesn't have to do with shielding specifically, but rather the proper way to connect single ended systems to balanced systems.
Like some others have already said, the shield (Not audio ground) should normally only be connected at the source.
I am making the assumption that the wire is all twisted pair with an overall shield.
When connecting a single ended output to a balanced input, wire as follows.
1) Connect the hot lead (RCA center pin)to pin 2 of the XLR or the Hot pin on the terminal block.
2) Connect the RCA Ground to pins 1 and 3 of the XLR or cold and ground.
3) Connect the shield of the wire to the ground of the RCA.
However, the wiring of balanced outputs to unbalanced inputs is a little more complex. There are 2 different balanced output schemes. Transformer coupled/Cross coupled and electronically balanced.
For electronically balanced systems, connect as follows.
1) Connect XLR Pin 2 or the hot source to the RCA center pin
2) connect the XLR pin 1 or Audio ground to the RCA ground.
3) If available, connect the shield to the chassis of the XLR. If this is connected to audio ground inside the box(Use an Ohm meter to check for DC continuity), connect the shield to pin 1 (Ground)
For transformer/cross coupled outputs, You do as above except you need to tie XLR pin 3(Audio cold)to ground. Not doing so will result in a loss in level as well as grungy and distorted audio.
All the best,
-mark