Magnetic shield is as important as electrostatic shield. Any signals travelling in electrical or/and magnetic fields will be distorted, in this case, the signal travelling through wires present in elctrical and magnetic fields will be distorted. Transformers emitt (produce) these two types of fields at the same time.
The interferences of transformers, (electromagnetic interference, EMI) can affect the sonic in two ways: one is to generate hum; the other is to distort the music and in most cases, to deteriorate the sonic. The hum is obvious to identify while the distortion is not so easy and most of the time the deteriorated sonic tends to be attributed to other factors.
Electrostatic interference can be tackled by earthed shield while magnetic one needs different considerations, like flux orientation. Magnetic shield is different from electrostatic shield and more difficult to implement. What hobbists can easily do in this respect are the tranformer orientation and distance.
Mu-metal is meant for magnetic shield (most conductive metals can be used as electrostatic shield when earthed). To shield magnetism, the metal is not necessarily earthed but has to short the magnetic flux. To do this, you need first figure out the direction of the flux in question and shape the mu-metal to form a continous (closed) flux circuit to short it. Otherwise, the shield will not work as a shield and may in fact relay the radiation.
Magnetic shield is better left to the manufacturers to handle if they are willing. If you like a really clean enviroment in your enclosure, the transformer shield is best achieved through double shields with air in between. So, getting a transformer with built-in shield by manufacturers and install it in a shield chamber will do the trick, and bring the peace of mind away from EMI, if you are an extremist, as I am. (EMI is one of major concerns of system design and affects performance more significantly than people normally believe. Some special instruments can tell the presence of EMI but are not quite accessable to hobbists.)