To ground it, you add a wire with no insulation to the bundle of wires you are shielding.
Wrap this uninsulated wire around the outside of the others so it can create a good connection with the shielding.
Soldering, or at least taping it to the inside of the shielding would be best (if you use foil. For the aluminum tape you attach this wire to the outside)
If you are separately wrapping multiple wires you can run the separate ground wires to each other and bond them all to a thicker wire which would be connected to the chassis. For a single "wrap" you would just connect the one ground to the chassis.
The grounding gives the EMI somewhere to go. Without it, you are simply creating a nearly useless physical obstruction for EMI.