It is better to shield every sensitive or disturbing signal, but if you have 1 sensitive line and several disturbing lines, it is easier to shield only the sensitive line. If you have one disturbing line and several sensitive line, it is easier to shield the disturbing line.
If you have a multilayer PCB, you should place your disturbing line in a internal layer, with a ground plane on top, a ground plane on bottom, and one shield line on each side of your disturbing line on the same internal layer. Use a lot of via to connect the ground planes with the shield lines.
You seem to worry about EM disturbance, so connect the shield line to the GND several points on your PCB, but not to the analog GND. Use bottle neck if you need to connect the digital and the analog ground.