What I have always done is shield low level signal cables such as servo/stepper commands, motors I just make sure twisted conductors are used, for VFD's I have never used shielded cable for the the 3 phase, I ensure the conductors are twisted and run out to the machine with metalic liquid seal flexible conduit, never had a problem.
Grounded all power to a common star point and make sure the machine conforms to equi-potential bonding.
http://www.automation.siemens.com/do.../emv_r.pdf?p=1
Al.