I've been taught to do it the way that Al recommends. If the shield of a shielded cable is not grounded at one end, then it has nowhere to drain the noise signal to. If it is grounded at both ends then it just becomes another conductor in the system, and if the other grounds are not up to snuff, then it has the potential to carry some juice on its own.
First you get good, then you get fast. Then grouchiness sets in.
(Note: The opinions expressed in this post are my own and are not necessarily those of CNCzone and its management)