I don’t think it makes much sense trying to add shielding to the sensors that you are using, but the more high-end/professional weather stations all include shielding on their thermometers for this reason. I think for your existing setup, it’s more just that you should be aware of this possible source of inaccurate readings on clear/cold nights.
In my case, it’s a DIY setup where I started with a little electronic chip without any kind of housing, so I just designed it with shielding in mind when I decided how to enclose it. Here’s the thread with details for my setup:
The actual computer that is transmitting the readings is on the other side of the wall, with wires running out to the temperature chip.