There's no internal screen between windings on an O-2, but there is often a terminal marked with a ground symbol that is attached to the case. This should be connected to the XLR pin 1 of the low Z output, also connected to the case of the DI.
There's also the issue of whether the high impedance coil should be referenced to ground or not. This is basically what the 'ground lift' switch does on a DI - it will either connect or disconnect pin 8 to ground. On a DI, the XLR pin 1 and the chassis should always be connected together, and this ground can optionally be connected to pin 8 or not with a ground lift switch.
Otherwise, there shouldn't be much hum if the wiring is neat and compact. Twisting the connections from the transformer to their connectors is also a good idea - the pin 6 and 8 connection should have their wires twisted from the transformer to the 1/4" jack and ground lift switch. Likewise, the pin 1 and pin 5 connections should have their wires twisted along the way to the XLR pin 2 and pin 3 connections.
UTC made a slip on mu metal shield for the O series, and this can help if you're unlucky enough to mount the transformer near a large power transformer for example. You should not need this normally, but they do exist and can be found occasionally.