Using shielded wire for the power leads is wasted effort. Won't improve performance at all, usually.
Best advice for a direct-to-battery hookup is to make sure you have circuit protection in the hot lead AT THE BATTERY where you tap in. Yes, the radio has its own fuse, at the far OTHER end of the wire. You need a fuse, or small breaker close to the battery post. This will protect the wire from setting the vehicle on fire if it were to get pinched in a fender-bender, or rubbing against the rough edge of a hole in the firewall. The small auto-reset breakers with two threaded posts on them will do the job. Less fuss than a fuse. Besides, a fuse needs to get wrapped in tape, or otherwise protected from spray under the hood. If the end caps on a fuse get dirty or tarnished, it will run hot and may blow for no other reason.
On the whole, hooking directly to the battery tends to work best. You just have to remember to turn it off when you park the car.
73