Wrapping power cords and interconnects with copper foil.

@richardbrand Said:

Consider whether the RFI carried by power cords is actually generated by the components they power, not by the wall supply!  Much more plausible ...

Agree.

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Shielded cables have been around for years and do not have to be expensive.  Copper braid and/or foil are pretty standard.  Most/all of them are grounded at both ends.  The Iconoclast paper on shielding and grounding is interesting.

Here are 10 bulk power cords by Furutech.  Nine of them are grounded.  I believe the ungrounded FP-Alpha-3 was intended for power amps.  I have never heard a shielded cable degrade the sound of my system.

Iconoclast paper

ICONOCLAST will use double ground interconnect shields and proper DCR RCA grounds.
Power Cables should also use grounds at BOTH ends if you have a proper GROUND plane
resistance such that ZERO current flows and thus you have ZERO induced voltage from
differential current.

If I understand correctly "Power Cables should also use grounds at BOTH ends" that means the shield should be connected to the EGC (Equipment Grounding Conductor) at both ends of a power cord. That’s not a good idea, IMO. Doing so puts the shield in parallel with the EGC. In the event of a Hot to chassis/EGC ground fault event a lot of current would travel on the drain wires/shield. In the event of a bolted ground fault ahead of the AC Line fuse possibly hundreds of amperes could be at play before the circuit breaker, hopefully, trips open. The EGC will carry more current because of its lower resistance/impedance but the drain wires/shield will carry far more than it is capable of handling.

From what I have read over the years the shield should be connected to the male plug end. The AC mains power source end.

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@jea48 - Are you assuming the shield is acting as the ground?  In my power cords, I always use a ground wire that is "at least" as large as the neutral/load wires, regardless of whether or not there is also a shield.  However, I have seen many balanced interconnect cables where the shield is used as the ground connection.

Shields only get connected at the source end

  In the case of a power cord the source is the wall.  The ground WIRE gets connected both ends.

Same is true for ICs.  Fyi I only use shielded power cords and fully shielded ICs.