Necessary to ground and XLR interconnect?

In building XLR cables, some designs call for floating a shield from the source end of the cable with no connection to the destination end. If I don't want to use any internal shield, is it necessary to attach anything at all to the negative pins? And if so, is it important to use the same gauge and type of conductors used in the signal wires, or can I go smaller and cheaper? These cables will connect a Wadia CD player directly to monoblocks. Thanks for your advice.