Important or no? I'm used to making guitar and mic cables and we always use the shield in a XLR connector, is there any benefit for headphones? Because for you typical 4 pin XLR balanced plug, there is no option for tying in the shield, and if you wanted to use the shield for a 2 x 3 pin XLR termination, you'd need at minimum a 6 conductor cable (4 signal and two shields), or two balanced pair cables twisted together. Am I correct?
For making TRS extension/IC cables I've always used the shield as ground and twisted the wires into two pairs for the left and right channels respectively. Is there any reason why I should not do this?
There are reasons to do it either way with regards to sheilded output cables.
In a nutshell: Shielding cables reduces the problem of noise entering the amp through the outputs BUT increases the capacitance of the cable which may not play nice with all amps.
Its kind of a personal choice.
For the second bit, use one wire for signal, one for ground and then float or ground the shield depending what you decide to do for that. Using shield as signal ground, and 2 wires for each channel causes extra cross-talk.
TR is one of the standards for SE signal transmission and will short a balanced amp to ground, which is OK if the amp (or more commonly source) is designed for it. TRS is for balanced. I have no idea why anyone would put dual pugs*, regardless of their type, on a headphone cable when a single 4-pinXLR and a couple adapters covers you for any dynamic amplifier.