Safely build an earth to audio ground cable
Answering to my own question after working a bit on it.

I created a cable that connects the mains earth to the audio ground of a jack. To be safe I removed the fuse in the (UK) mains plug and completely isolated the live and ground from the plug. There is no way that a wrong connection can happen, even if the cable is shorted. Also I completely isolated the tip of the audio plug to avoid other wrong connections.

This cable correctly ground audio equipment and I realised that this is safe.
This is particularly useful if using equipment with lifted ground (audio players, laptop etc), when you need to ensure that at least one path to the earth is established.