The nRF24L01 radio module I buy comes in two versions, each with a different antenna connector. I don't typically use the version with a built in antenna trace, as I need long distance capability. However, its been found that the modules need shielding to reach longer distances, and some people have found that shielding helps with nearby micro controller operation. I suppose it can even help with FCC certification, assuming that is a thing for you...

So, I know the first thing a DIY'er will do is grab some aluminum foil... but I really like a cleaner look, so I built a "cover" for my radio module. Once you put the module in the cover, you wrap it in foil. I have copper self-adhesive foil all around my house, because of some Stained Glass work I enjoy.. there is no reason to glue the module cover either if you are wrapping it with self-adhesive tape!

It is a tight fit on purpose. I can get mine to fit around the board snugly with some pressure (getting the antenna connector through is the main issue). For a SMA connector, attach it after putting the cover on. And remember, the shield needs to be grounded and sufficient thickness to work the best, from what I can tell. ~1 mil foil is fine probably, and remember you can do multiple layers! In my case I just do a quick solder from the antenna ground to the foil since they are touching.