I have found Cardas type RCA covers (I got mine for someplace else wayyyyy cheaper)
Work well. I bought 100 of them and stuck them on every unused unput/output I had (aside for receiver, which would need another 100 or so!)
Slightly lower noise floor. Even plasma TV pic slightly less noise
Ditto XLR covers.
They help on digital outputs too (If you cannot turn the output off)
I tend to avoid the shorting type just because..
So i would say they help slightly. But are in no way mandatory for good sound.