Balanced or single ended leads from your arm.

Raul,
FYI, I wish my situation had been as simple as a poorly shielded cable. I tried numerous well-regarded and highly shielded single-ended cables and none of them eliminated the RFI. Balanced cables fixed the problem and improved the sound immediately.
So, perhaps my situation is rare, but it certainly doesn't hurt the argument to go with balanced cables when possible.
FWIW, I agree with your other comments about needing a well-designed phono stage to take advantage of balanced. I just wish I knew what reasonably priced pieces you think sound good. We all can't always "wait until we can spend more", as I've often seen you recommend. Regards,
Spencer

Ken,
My experience has been that RFI can be significantly reduced by going with balanced cables from the table to the phono stage. In my case, 1000ft. from a large radio tower, RFI is a significant issue, that led me to abandoning many a single-ended preamp. Balanced cables was the single best way to eliminate my RFI problem.
FWIW, any VPI owners out there, you can buy a balanced junction box for $150 directly from VPI that replaces the box on any JMW arm. Yes, a high price for a little metal box with two output jacks, but well worth it for the sanity it provides.
The Neutriks that Albert mentions are by far the pro audio standard, they're cheap & easy to find.
RFI issues aside, I agree w/the other posters that balanced will provide an overall lower noise floor. Go for it! Cheers,
Spencer