> I assume this needs to be shielded cable?
Nah. It's your amp, you do what you want.
For your own edumacation, tack it up with plain hook-up wire. The amp will work. But if you fondle the grid wire, you hear room-buzz. If you touch the grid-cap, you get ROOM-BUZZ.
This is even useful in diagnostics. If grid won't buzz, the problem is between here and the speaker. Low-level stages buzz more than high-level; it is useful to learn the touch-buzz of each stage while the amp is healthy, so you can instantly check it when it seems ill. The absolute buzz is affected by how nasty your room is, the relative buzz in 1st 2nd 3rd.. stage is consistent.
Many 6J5 and 6J7 in high-level stages just used plain stranded un-shielded wire. Where you have 20V of signal thumping power tubes, and you don't fondle the grid wires while using the gear, the stray buzz is negligible.
In electrically quiet situations, even mike-amps will work fine without shielded grid-lead. But you run the chance that some "minor" change, such as moving the mikeamp over nearer a power supply, will raise the buzz level more than you expect.
If you sell to any fool, who may have a lamp-dimmer in the same rack, you must be pretty obsessive to reduce customer complaints. As Doug says, there were several "standard ways to do it", and often over-kill by DIY standard.
Capacitance per se is not a prime issue. The 6J7 is capable of VERY low C and very high impedance. But in most audio we'd have 500pFd crystal-mike or 100pFd of stray transformer capacitance. The 10pFd of 4 inches of plain shielded cable is not going to be a big difference. And since many mike transformers are designed for the ~~50pFd input of a triode, the <5pFd input to a pentode may be lower than optimum, and a few more pFd is not bad. (OTOH, many mikes-amps worked the first 6J7/1620 pentode in triode mode, so you should not carelessly add lots of pFd.)
You often find 6J7 wired with plain fat-rubber hookup wire, plus a thin strand of hookup wire wound around this lead, grounded at the source. It's like 50% shield, which may be 100 times better than no shield, yet the C is low and the production cost is far less than stripping a little run of shielded cable.
Build it. Use it. Does it buzz around the grid lead? If so, add the minimum shielding which makes the buzz negligible.