Any time you make a run without shielding, you have more exposed wire that has the potential of picking up noise. But I'm not a shield freak, and I'm pretty particular about wiring. I've found very little difference between shielded runs from the pots to the jack. That's about the only area you see shielded wire in the cavity. The pickup wire itself should be shielded, although most single coils just have the two separate wires, which is kind of dumb, because single coils need all the help they can get.
Also shielding the pickups should give you more mileage than the cavity. If you're reducing the noise at the source, then you reduce the compounding effect of more noise taken in at the cavity. Shielding both would be ideal.
Most of my guitars have shielding paint or tape in the cavity, so I feel like it's much less necessary to use shielded wire inside for your runs. So I use mostly single wire. Sometimes I take the hot and ground pair running to the jack, and put one end into my cordless drill to twist them into a braid with eachother. I do that for convenience and neatness, but I figure that adds about a 25% shield to the hot run!
