Well, I think that's what InSancen is saying - no shielding is OK in this application.
Now you CAN do this trick if you are worried and if nothing else it'll make the cable a lot cleaner.
Show Image
(http://geekhack.org/attachment.php?attachmentid=6979&stc=1&d=1262566095)
For PC fan cables I would braid the cables to make it neater inside the PC. I learned this trick from building guitar tube amps.
I call it the Little Jacob Rasta FanBoy Mod. Irie, Mon!
I don't have to worry about that as it is since Pentium III's only generate so much heat... No need for any fancy fan systems at all.