Over on YouTube user Cameron Conover has uploaded a video where he tests the effectiveness of the optional HackRF RF shield and also shows how to install it. The shield solders on to the RF front end of the HackRF and is intended to block signals from entering the device other than through the antenna.
To test the effectiveness of the shield Cameron uses a signal generator to transmit a test signal at 406 MHz. He shows that without the shield in place the HackRF with a 50 Ohm terminator on the antenna input strongly picks up the test signal. After soldering in the shield and testing again, the test signal can no longer be picked up.