Wire should be pretty tight to stop the energy. In my opinion it should be smaller than chicken wire, less than 2mm x 2mm air gap.
Stainless or metal screen door wire would be easy to work with, readily available and simple to enclose something in.
Doesn't necessarily have to be grounded. Doesn't hurt I guess but isn't critical.
Heck an ammo can would work, microwave as mentioned, refrigerator, freezer, oven, old style metal bread box.
For added precaution you could put electronic devices in the metallic mylar bags or ESD Bags with a layer of non-conductive material between them and the outer metallic shell.