There is a lot of different thoughts on grounding and which is the best method but most seem to agree that taking all the shield wires to a single point in your cabinet and grounding is the best method. It is known as star grounding as all wires radiate out like a star. Also only one end of the shield is normally grounded.
In the pic of the new control cabinet I am doing for my Bridgeport you will see arrowed the Ground/Earth connection that I run all my shields to (solder long wires to shield to run to the ground point). I dont have many wires shielded however, mainly just the high voltage ones as most of my signal wiring is 24v and 5v such as Step/Dir are differential so dont really need shielded.
Hood