Take a look at this page from Bob Knuckoll's site - it is pretty self-explanatory in terms of finishing off the shield wire. The core of the P-Lead goes to the P-Lead connection on the mag, while the shield goes to the ground screw on the mag. At least if I did it right....
Paul
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.