Does it matter if I shield the antenna wire or the interference source
You should always start by using devices that comply to decent EMC guidelines (which often rules out cheap garbage products you buy for 1 or 2 $). Then the next step is shielding the source of interference, but that only works when you actually have radiated interference. Conducted interference needs different approach eg. using power line filters or proper decoupling designed into the circuit.

Normally the antenna cabling in a car is already shielded / coaxial, so an extra shield there will not be very likely to work.

It is likely that your interference is conducted rather than radiated. This means that the device you plug in is doing bad things to the power supply lines, and the copper wire distribute this noise everywhere to all other devices in the car.