Especially if you are using a closed-loop stepper (whose position sensor is susceptible to EMI) or a VFD to power your spindle (which generates a ton of EM trash), you should care a lot about how best to ground and shield your cables. Nuts & Volts magazine has a decent article with some actionable advice for us. Most of the article is aimed at HAM radio operators, who care more about HF and UHF interference, or hifi enthusiasts, who care more about hum in their music. If you know of a similar document for us Machine Control Signals types, please reply to this thread.
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