No, you don't need shrink wrap but I would recommend a techflex covering over the braid shield. DIY'ers don't always consider the effects of long-term wear and tear. Some manufacturers would probably put the twisted pair inside of some type of tube, or an elaborate wrapping material, before putting them inside of the copper braid shield, so that repeated bending and rubbing couldn't possibly cause wearing of the cotton sheath over the conductors. Most manufactured products also use filler materials so there are no wires flopping around inside of the assembly. You might want to consider a middle ground by wrapping the conductors in teflon tape. To be clear on the construction, my recommendation is to shield the conductors inside of a tinned copper braid shield connected only at the source end and a full sized (same gauge as the conductors) ground wire counter-spiraled outside of the braid shield and connected at both ends.
Some might say the shield is not needed and creates more sonic problems than it solves. It would be simple to make up a pair without the shield to get a feel for how they will sound...you can always add the shield, techflex, heatshrink etc. later. I have never had a problem with shields, either on bulk cables I have terminated or on cables I have constructed from basic wire and other materials.
Regarding wire gauge, there are too many theories to get into here on both gauge and geometry, but I suggest you look some stuff up on this forum and other web-places. Many would think the 16awg wire to be too thick for interconnects. However, Furutech's FA-alpha S22 is actually a little larger than 16awg so it is not unheard of. Many manufacturers use wire gauges in the 18 to 26awg range. This Duelund or WE wire is inexpensive to try so, why not? The connectors can be expensive but if you don't like the result then just take them apart and reuse the connectors on your next experiment. If you want to pay less than the cost of the Furutech FP-601/602 series, try their FP-705/706 series of connectors, which are also quite good for the money.
