The possible disadvantage of Bob's method is the strain put on the twisted shield at the exact point it leaves the cable... I've seen 2 P-leads broken at this specific point.
I prefer soldering a short jumper wire (black 18 g is good) to the shield, and then covering the exit from the cable with heat shrink.
The nearest picture I could find was this NASA preferred workmanship standard one...
I prefer the lower picture with the ground wire facing "backwards" and looping around, but either works...
This shows a twisted pair, shielded cable, but it's exactly the same for a single conductor shielded cable.
ADDED
I forgot to mention the quicker 75 cent method.. parts from Stein... a solder sleeve...
gil A
Paul ... use your NASA standard.....