It's absolutely no different than wiring with the usual 22AWG stranded copper that's found on most guitars. The question you should be asking is whether or not you are missing out by choosing unshielded wire, rather than shielded wire. As far as that question goes, there really isn't any consensus. The cost, workability and deviance from tradition tend to keep some people away from shielded wire, but some question the benefit that it has to begin with. Personally, I think it is a good idea to have everything shielded regardless of whether or not it will make a difference.