It was nearly 5 years ago when I built the harness & wrote the instructions so my memory may be off, but I believe I ignored that part of the instructions. What monroe74 was saying there was that those 4 wires should have shielding on them (which is a foil wrapping around the core wire(s)), as shown in the image below:
Then the shield itself (which the silver/gold wire is attached to in the pic above) should be grounded; to pin 2 would probably be fine.
The idea is that you don't want electromagnetic interference to corrupt the signal on those wires, as that could confuse the ECU. As I mentioned, I believe I ignored those instructions; I just pulled some wires out of my mess-o-wires box and soldered stuff together. I can't say if that's causing a problem; the car drives fine but I haven't compared a harness with the shielded wires vs my current harness.