Yes, it's worth a more detailed discussion than my quick initial reply.
I did a lot of poking around for information on this when I was looking for a solution and in the end, I took a practical approach. We're not doing MRIs here. The goal is to reduce induced noise as much as possible, given the tools and materials available to us.
Yes, mu metal and other hi nickel alloys (supermalloy, etc) are very sensitive to deformation. Even dropping them has a significant effect on their shielding effectiveness. The process required for re-annealing isn't practical for the DIYer.
Here's a chart from a research paper on the relative shielding effectiveness of various materials:
https://drive.google.com/open?id=0B__Vr0ik2GcgWVJGdmdFQkRHdkE
Nickel (expensive) and stainless steel (reasonably cheap) do have some degree of magnetic permeability, but the hiNi alloys are >20 times more permeable.
Here's a chart showing the permeability loss after dropping from various heights:
https://drive.google.com/open?id=0B__Vr0ik2GcgdVplZGdJaWRuMms
I couldn't find any data on the effect of cutting (with shears) and 90 degree bending, but if we use the drop data as a rough reference point, the drops from 30.5 and 61 cm reduce permeability by half (single drop). If the effect of cutting/bending is roughly equivalent to a single drop from one of these heights, we still have a material that's at least 10 times more effective than nickel or stainless steel.
The question in my mind then becomes, is the cost of mu metal sheet worth it for the level of shielding I can expect? For most of the sheet material I found, the answer was "no" (for me anyway). But I did find a couple of sources on eBay that were relatively cheap, which made it attractive to try it. The results have been good enough for me - I have definitely seen a difference between shielded and unshielded input transformers in my crude tests. So I settled on this path as good enough.
Joints are critical in any magnetic shielding application, as gaps allow magnetic leakage into the shielded space. Again, we're not doing MRIs here and I just did the best job I could. Results were good enough for me.
Here's the full slide deck I took the drop data from:
https://drive.google.com/open?id=0B__Vr0ik2GcgZW40eVBQVElkWGs
It has a nice little chart in that compares cost of various materials to effectiveness. This might give some folks some ideas on other materials to try.
https://drive.google.com/open?id=0B__Vr0ik2GcgRWM5cHF3YUl0ZWc
The other approach I've tried that works about as well is to use 3M magnetic shielding tape. It's the same stuff I think Edcor uses on some of their transformers. It's not cheap. In my experience it's about the same in terms of cost per transformer as the mu metal source I found. Easier to work with, for sure. Maybe a combination of the 3M tape and mumetal would more fully address the joint leakage issue. I don't know. Someone more obsessive about this stuff than me could maybe try it.
BT