Spindle to VFD cable...

[Muzzer]

Yes, that Lapp cable is the ultimate solution. There are lots of different styles, some with both power and signal connections bundled and screened separately and collectively. On top of that they are very flexible and oil proof. I wired up my Bridgeport conversion with this stuff and one cable can cover a servo motor, encoder feedback, power supply and limit switches.

Those ferrite clamps are very useful to have handy. If you have taken care with your wiring and filtering, it's less likely you will need them but they are very convenient and can be very effective if you still find noise getting where it shouldn't. There are lots of different types of ferrite that work best at different frequencies, so there's no universal solution, although recognised brands may be worth sticking with. You can pass the wires through several times to get better effect if the hole is big enough. They are "lossy" chokes, rather than being purely inductive but their self inductance adds to their effectiveness.