Ouch! I test the teaching lockin we sell by looking at how much of the oscillator gets into the front end (at ~3 kHz.. highest frequency). The answer is typically ~10 nV. Which also about the noise level of the preamp...(10nV/rtHz) kinda the edge of what I can measure. (I assume you've got a low source impedance.)
As others said (and you most likely know) you want a foil and braid shield. With good grounding!... I remember explaining to my boss why the split steel lock washer could not go between the shield wire and connector body, but had to be outside that connection. (Well I had measurements to back it up, having done it wrong the first time myself.)
George H.