The shield should be grounded to the circuit's ground.
Ideally, you would have a star ground point near the first opamp and connect to it:
- the first opamp's gain resistors
- the second opamp's gain network
- the shield
- ground of the output connector
But you can probably get away with a lazier ground layout, as long as everything is contained on that one board and no big currents flow through the circuit.
One thing that won't work very well is grounding the shield to some random mains socket. Too much potential difference, even if it's just a fraction of a volt.
Here's how you do shielding around such things:
http://www.vk2zay.net/article/251Except that the guy should have run a coax cable between his two cans instead of a pair of bare wires, or put everything in one can.
But he only cares about DC so maybe it's good enough for him as long as the opamp doesn't clip due to picked up noise.
(Or as long as he doesn't notice that it clips and just accepts a wrong result and never finds out it was wrong
)