I did that a couple years ago. Use 20AWG shielded wire. Connect the center wire to the mag p-lead connection and one terminal of the mag switch. Connect the shield wire to the other terminal of the mag switch and the ground terminal on the mag. I found some good shielded wire fabrication instructions online.
Right now the cockpit switch is connected to the p-lead on one terminal and airframe ground on the other, and the shield at that end is also connected to ground. You're saying connect the shield directly to the switch terminal and use no other ground connection in the cockpit? I believe my wire is 18AWG - is that close enough?
I have a Slick 4216. There is a round cover (size of a quarter) on the top of magneto held on by a short screw. Is this the proper ground contact location? There is also a distributor block mounting screw right next to the P-lead. Is that a better place for the ground wire?
Since I mentioned the small cover, is that simply a breather port so that the magneto can vent air while climbing and descending?
I do not have an unused threaded hole anywhere near my P-Lead. I do, however, have a screw that holds the distributor block housing to the main housing. That is likely the hole of which you speak. I removed the screw and it looks as though it will be a fine location for shield grounding....and p-lead grounding via the mag switch and back through the shield wire.