Cherry
I am using DB9 (computer serial port) connectors at my wing roots. These are very affordable (cheap) and easy to put in small places. You can get a bag of 10 for a few bucks at Frys or similar electronics store. Be sure to use mil spec machined contacts. We use these on mil aircraft. The rolled contacts can be iffy at times and it is harder to get consistent crimps.
I am using a 4 wire unshielded cable in my wings. This allows for wingtip wires for nav, strobe, ground, and sync.
I used a 3/8" OD polymer tube from Lowes as a conduit to route the cables to the wingtips. I cut a small hole where the OAT and magnetometer wires head to the fuse. Plenty of room for the quad cable and 4 wires from my magnetometer.
As for using the shield in a cable (term for a multi wire jacketed "wire") as ground, I would NOT recommend this. The shield is designed for noise mitigation (EMI), not current handling. Some of the tefzel cables use a silver plated braid that corrodes rather easily and you would not want that to be carrying any current.
Do you need Tefzel wire? nope. a lot of your car wiring is not tefzel, even in the engine compartment. The reason mil aircraft use teflon based jackets is the noxious fumes PVC puts off when it burns. Tefzel is pretty nasty too, it just has to get hotter.
I have been wiring military and civil aircraft since 1980. I currently work for a DoD contractor in the wiring and interconnect department and can go on for a bit about wiring best practices and techniques...
Oh - the connector on the fuse should have female contacts so you do not inadvertently short any pins (there will be power on one or more).