What are you talking about when you say heat shield? The Beru set that I purchased did have the metal heat shield at the plug end of each wire.

Are you talking about the black plastic the wraps the 4 wires together? The one on the left is about 8-10 inches long, the one on the right is longer. If so, I don't think these act as a heat shield. I think there only purpose is to bundle the wires together. You could always use wire ties to bundle the 4 wires.

But if you want to recreate the OEM look, I was able to reproduce these by purchasing 1.5" heat shrink tubing. I then pushed each wire through individually and using a heat gun shrunk the tubing down. The 1.5" tubing shrunk to the same size as the original (not completely tight). It took a little care with the heat gun to get the tubing to shrink without causing wrinkles. I was able to purchase the tubing from Fry's.

I'm looking for a source for cylinder number tags to put on each end of the wires. I'm sure someone online sells them. The probably won't match the OEM exactly.
~Dave