Yes, they are the most sensitive link in the chain, particularly if you are using a low output moving coil cartridge. Any length of wire is also an antenna! However, EMI or RF can and will be picked up by your interconnectors. If the audio signal is in the uV range as it is in a low output MC, the issue becomes evident. EMI is usually heard as a low level, high frequency hiss or crackles and pops. To see if its a problem in your setup up is quite simple, switch to your phono on the pre without playing anything and crank up the volume listen fir high frequency hiss, now do the same thing with another input other than the phono and compare. If the phono has additional hiss at high volumes, it is usually EMI (unless your turntable has an internal phono preamp). The good news is that the solution does not require any "magical" cables. Shielded RCA cables are readily available and don't have to cost 100's of dollars. They are also known as SPDIF standard. A good pair such as Mogami Gold patch cables cost around 50 bucks. Visually nicer and more conveniently packaged, which include the ground wire in the "sausage" such as Ortofon 6NX are available but but are mostly a luxury with no sonic advantage.
Again, any decently made shielded RCA is all you need and excellent ones cost no more than 50 dollars. It's amusing to see people spending as much as the cost of their cartidge on a 3 foot piece of wire.
Attached is a pic of my set of Ortofon 6NX. As explained above, a luxury rather than a necessity, but they visually and "spiritually" complement my SL1000R and Verismo cartridge better than plain black "patch" cables.