Shielding your wires
Shielding wires is not that daunting of a task. Make sure you source quality wire from Racetronix, Summit, Holley, or another trusted shop. I've repurposed OEM shielded wire with success also.
For gauge, 20awg should be fine in most situations, but consult your sensor datasheet to be sure.
When shielding the wire, make sure you GROUND ONLY ONE end, do not ground both ends. You should be tying this in with your other sensor grounds unless you're told otherwise.
You can add disconnects in the middle of your shielded wire (OEM does on some), just ensure you run the shielded wire into and out of one of the pins so the wire stays shielded until it reaches the end.
Follow your manufacturer's recommended wiring practice when installing shielded wiring. It doesn't hurt to shield unnecessary wires, but not shielding important timed signals will have a negative effect.
Why? The signal that is being received at the other end is much cleaner. If you're at all familiar with radio and SNR then the concepts and interference is similar in these signals, if you aren't familiar with SNR, that's ok, I'll explain. The absolute basics of this is easily understood if you think of radio station signal you're trying to receive from far away. You're barely able to unsterstand it, but it is intelligible. This is due to the amount of high noise and attenuation of the signal. The signals on these wires are similar, they are just being transferred via copper instead of air. The ECU is trying to interpret them, but if the wires aren't shielding outside interference then you'll get interference. Once the signal gets buried by the noise from the different outputs and "noise makers" like the alternator, ignition coils, fuel injectors, solenoids, etc the ECU will have trouble seeing a clear signal. Our ears can listen to a signal that's buried in interference and discern human voice or a song, but ECUs aren't that smart, they're programed to see a certain type of signal, and once it gets burind out a bit by outside noise it errors out.