I've been running RG-8 coax for years, with the shield grounded at the ECU end (on a Tiico Motronic ECU) and works fine.  You can pick it up at anywhere from Best Buy, Radioshack, to Home Depot or Lowes.  You can always purchase a ready-made cable for a television hookup and cut the cable connectors off the ends as well.

Keith Hughes
'86 Westy Tiico (Marvin)
 ------------------------------
 
 Date:� � Fri, 19 Sep 2014 12:06:33 -0700
 From:� � Don Hanson <dhanson928@GMAIL.COM>
 Subject: Wire gauge for the shielded wire for the O2
 signal?
 
 My shielded wire from the O2 sensor to the ECU...that is
 badly aged and
 cracked, resulting in it shorting, again, from the signal
 wire inside to
 the metallic shielding.���It's happened
 recently and again just yesterday..
 
 .so I am wanting to replace the whole wire, all the way from
 the O2 sensor
 to the ECU..
 
 Second question:� Where might I source wire like
 that...and no, I don't
 want to replace my whole wiring harness...especially since I
 am running a
 hybrid inline power VW motor in my 84
 Vanagon...���I was planning on
 simply� running another shielded wire across the engine
 compartment in
 parallel to the harness that carries the original wire
 (somewhere inside
 it) and there by solving my cracked and brittle wire
 shorting out problem...