The trick with screening boxes is that any slits or openings must be thought about carefully (they form radiators at a high enough frequency), and every electrical connection penetrating that box must be filtered in a way appropriate to the problem you are trying to solve.
Also the metal must be thick enough and of sufficient conductivity to make the skin depth at whatever frequency you care about much less then the thickness, this is HARD at low frequency.
Bringing all the wiring out from the same side of the box is a good idea, as is keeping the internal doings only connected to the box at that edge (reduces circulating currents in the box walls).
Really switchers are fine, even for low noise work, you just have to do the sums to see what you need to do to make the power supply noise a non issue, and then follow thru.
Now filtering the output across a sufficiently broad band, that can be tricky, a post switcher LDO helps, but usually the PSRR goes to pot surprisingly quickly (But they will deal with most of the annoying DC - 1MHz or so region), then LCR filters for the quick stuff.
Regards, Dan.