I do not know about shielding stepper power wires. I have not heard of that being done.
In applications that call for shielded cable, the shield and ground should be separate conductors. The shield should not carry current nor be the return for a signal. Only one end of the shield should be connected to ground to prevent current flow in the shield.
From your description of the problem, my opinion is that if you use the microstepping to mitigate resonance and can't get enough torque, then you need a higher supply voltage for the motors that you have (up to the max for your drivers) or stronger stepper motors.