Depending on your cavity cover size and such, you could also construct a "box" out of thin gauge metal, properly grounded (with the "lid" being the shielded cavity cover) attached to the inside of the chambering.
But I second Pete - carefully done shielded wire should be plenty fine. It's the approach I've used on most guitars I've built, and I've not had much of a problem with it. To make life easier, I usually wire a pigtail onto the shielding braid, and wrap that connection in heatshrink, so I don't have to worry about the braid shorting anything out, and it makes things a little easier to get the grounds wired than dealing with trying to get the conductor going one way and the sheild going another.