As an RCA connector was designed to have two terminals, one for the inner and one for the outer of a coaxial cable, any additional shield is fairly redundant. If the source that the RCA is connected to is not referenced to the equipment ground and is effectively floating, then an additional shield connected to the equipment ground could be effective in reducing induced noise from the environment.
Shielding is useful where the signal is low, like a microphone output where it will be around -40 to -60db. In this case an induced signal could compete with the wanted signal and the most effective way of doing this is to run it as a balanced connection to take advantage of the common mode rejection properties of a twisted-pair balanced arrangement. In this case, the shield is often only connected at one end to prevent a "ground loop" where the grounds of the equipment may not all be at the same potential.
This is alleviated in a recording studio by having a studio or "engineering" ground where there is a central common ground for every piece of equipment and the mains power supply. In a domestic sound system, the only signal low enough to be affected by induced noise is the phono input and usually there is a lead fitted to the cable that is intended to be a chassis ground which is connected to the shield on the cable.
The best form of shielding is a combination of a braided copper sheath and a layer of aluminum foil. This combination provides the best shielding for low and high forms of electromagnetic interference. Low being the AC mains frequency and high being radio frequency KHz and up. Belden make many models of cable with this configuration and is cents per foot to buy.