Hey Mike,
most important to shield is the cable from VFD to spindle. This is because the currents the VFD produces are by no means nice sine waves, they are a heavy source of EMI.
You can find some information about wiring a spindle and a VFD in the following threads
Regarding spindle cable, I always strongly recommend to buy it ready-to-use with the spindle from the spindle manufacturer. Reputable spindle manufacturers always offer this. Unfortunately many cheap chinese spindle/VFD kit vendors offer only a loose plug and a piece of cable for making the spindle cable yourself, but I can not recommend this. In the case one’s budget allows only for a cheap chinese spindle kit, I know you can buy a spindle cable ready to use here.
Next thing to have shielded is the VFD enclosure, called control cabinet, as explained here.
The cable for the ModBus communication between VFD and CNC Controller finally is a signal cable. It should be a …
For a good connection it’s good to use wire ferrules as mentioned here