Lead shielding

Look up Mu metal...

Why would you want to introduce a toxic substance into your home?

For a moment, I'll assume that you were actually trying to ask a serious question. Don't waste your time trying to construct a shield for your cables as you described. If you're actually experiencing interference from radio signals, the methods for eliminating that are well known and documented. There's too much to go into here, unless you can tell me the source of the RF interference and frequency of the source signal. Also, what component is being interfered with - your TV, your stereo system, or both? Knowing all the above, the first step would be to determine how the unwanted signal is getting into the component experiencing the interference - could be through the AC power line, antenna line, speaker cables, interconnects. Once that's been determined, then a proper solution can be found. Note that such problems are almost always the fault of the TV or audio equipment not exhibiting the proper rejection of signals that are outside the frequency range that they're designed to deal with. Solutions may involve modifying the audio gear, or installing an appropriate filter (or choke) on the leads that are carrying the signal into the equipment. Tell me more about what's going on and I can give you some specifics.

Joking aside. My amp has a wall socket next to it. Under the wall socket is both my TV aerial, and satellite aerial. my tv is placed between my speakers. My speakers run parallel to the the aerial leads, as well as the tv - to amp phono lead. The shape of my room makes this unavoidable.

I am convinced that this is a recipe for RFI problems entering my audio chain.

The potential is always there for a strong RF signal (from a nearby radio transmitter) to travel on the outside of a shielded cable and couple to other nearby leads. It's never a good idea to bundle a variety of cables into a bundle using velcro or other ties for that reason. If one of those cables happens to be a high impedance phono lead, it can be a real problem. But, without the presence of a strong external RF signal, there is little chance of experiencing RFI from your TV cables. They are low impedance circuits carrying a very weak RF signal and the TV cables are usually 100% shield or multiple shields. What's more of a problem is improperly grounded TV cables that can deliver high voltages from a nearby lightning strike into your equipment. In the USA, satellite and cable TV installers are required to install adequate grounding (tied to your electrical system ground). If that's not done properly, destructive voltages will find their way into your TV and any connected audio and computer equipment.

Getting back to RFI in audio systems, here's a link to an RFI article by a recognized expert in the field: http://audiosystemsgroup.com/RFI-Ham.pdf

The article was written to help amateur radio operators understand the causes and cures of RFI since RFI is a common problem for these people since they have radio transmitters in their homes. Note that in no case is lead shielding even mentioned as the problems are never caused by direct radiation. Using the techniques described in this paper, I've been able to completely eliminate RFI caused by a 1500 watt HF transmitter in the room adjacent to my audio system.

On the other hand, there are those who will believe that even though they are not hearing obvious effects of RFI on their audio system, there are mysterious things happening that have no scientific basis but somehow affect their perceptions. For those folks, I recommend continuing to wrap the head in aluminum foil as the best solution (don't forget the air holes).