For components that do not have a ground pin the following approach can be used
1. using the continuity test option on a multi-meter, determine if the neutral side of the RCA socket is connected to the case
2. if the RCA neutral is "grounded" to the case, then simply run a single wire from the case to a mains ground point and then connect the interconnect cable as erik stated
3. if the RCA neutral is not connected to the case - the only option is to connect the end of the interconnect with ground and neutral joined to the next component in the chain - hopefully that component will have a ground pin on its power cable.
With a floating shield architecture, it is always better to have a grounded source, that way connecting the interconnect as erik stated, i.e. to the source component, ensures that any "induced noise" in the shield is not transferred to the next component in the chain.
Grounding those components that do not have a ground pin ensures the quietest possible operation of your system - if done right
I've tried this many times and it works very well - but you can't blindly ground everything - the neutral side of the RCA socket on the component must have an electrical connection to the case/chassis for the interconnects to work properly
Not sure of that clarified things or not :-)