As above, drain wire or braid can be brought to a header, but keep in mind, the uncoupled length reduces CMRR, proportional to uncoupled length and frequency of interference.
For low to modest levels of interference (e.g. within a metal enclosure, mainly the equipment's own internal noise), this is acceptable. Example: USB headers from PC motherboard to panel-mount jacks (the shell is grounded to enclosure or IO backplate).
It's also acceptable when bandwidth is low and filtering is ample; industrial gear sometimes needs shielding, but not so bad that a few inches of uncoupled length entering the PLC's IO board fouls it up.
Optimal shielding is obtained when the shield is contiguous with the circuit's own shield (preferably enclosure, else ground plane). This dictates metallic shell connectors, some means to crimp or otherwise bond the shield to the shell, and bulkhead mounting of the connector (or at least many shield pins into plane).
Note that RF shielding can be done independent of DC/galvanic grounding/earthing. If a DC "lift" happens to be needed, bypass capacitors can be placed across the shield boundary.
Use many in parallel, as the ESL of just one or a few will likely not suffice -- again, uncoupled length matters!
If you have the space, and don't mind stripping the jacket in multiple places (and any environmental concerns that may create), you can use clips like this:
https://www.icotek.com/en-us/products/emc-cable-shield-clampsAgain, note that there is some uncoupled length: in this case, the height of the clip/clamp above enclosure (reference plane). It's not an ideal ground (compare: suppose you put two bulkhead connectors right beside each other, and joined the signals on the interior; then both incoming/outgoing shields terminate solidly into the enclosure, no direct path between them), but it can knock down the brunt of incident EMI, greatly relaxing the connector requirements. This also greatly lowers the shield impedance in the area, so that a ferrite bead has tremendously more effect (i.e. when placed between the shield clamp and a bulkhead connector, than it would on a free cable).
Tim