Lead shielding

Only use lead if you are running a nuclear powered system.

RFI EMI - and Krypton of course - LOL

Look up Mu metal...

Why would you want to introduce a toxic substance into your home?

For a moment, I'll assume that you were actually trying to ask a serious question. Don't waste your time trying to construct a shield for your cables as you described. If you're actually experiencing interference from radio signals, the methods for eliminating that are well known and documented. There's too much to go into here, unless you can tell me the source of the RF interference and frequency of the source signal. Also, what component is being interfered with - your TV, your stereo system, or both? Knowing all the above, the first step would be to determine how the unwanted signal is getting into the component experiencing the interference - could be through the AC power line, antenna line, speaker cables, interconnects. Once that's been determined, then a proper solution can be found. Note that such problems are almost always the fault of the TV or audio equipment not exhibiting the proper rejection of signals that are outside the frequency range that they're designed to deal with. Solutions may involve modifying the audio gear, or installing an appropriate filter (or choke) on the leads that are carrying the signal into the equipment. Tell me more about what's going on and I can give you some specifics.