I just bought a 81 and 85 EMG active caps.

Do I need shield the guitar (not just caps) ?

Simple question.

EMGs are internally shielded so you're all good. Couldn't hurt though.
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What the hell are caps?
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Don't,by shielding I'm assuming you mean a Faraday Cage, Doing that is really only useful on single coils. NOt to mention it does suck a little bit of tone when you do it.
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