Here's my 2 cents worth.
For the signal ground I think its best not to use the cable shield - just one of the wires in your cable.
I don't think I've had any shielded RS-232 cables and using the shield probably isn't that important unless you're in really electrically noisy environments. RS-232 voltage swings are pretty large by comparison to most electronics these days and the frequencies (baud rates) are pretty low too so I think its pretty robust.
If you do connect the shield, its best to just connect it on one end to avoid ground loop problems. Keep in mind that there are an awful lot of plastic RS-232 connectors out there, and I don't think there is any guarantee a metal connector or the mounting screws are grounded to anything anyway. You might have to connect a jumper wire to a good ground point for your shield to do any good.