Radio station comes through phono stage, only fixed when I grab the wires??

I had two ferrite rings, so I installed them on the turntable-to-phono-stage leads (can't believe I forgot I had them). That helped, maybe 50% improvement. Dangling a lead from the preamp lug still has the biggest effect (connected to the turntable-side lug, it makes the problem *worse*). I also switched to a solid-core ground wire (just happened to pick it up), and found that bending it into different shapes improved or worsened the situation.

I'd do more cables, but it only comes through on the phono stage. So, I'll count myself lucky there.

Would any kind of shielding work? Like if I built a faraday cage around the connection between the turntable and the phono stage?

Wow that antenna is CLOSE to your house! No wonder you have breakthrough.

Given that a ferrite clamp is helping, I'd agree its common-mode noise getting into the phono cable and shield.

Have you identified that it's an AM radio station? Because if so, there might be a more effective solution than a ferrite clamp.

Ferrites used for RF suppression are typically more effective at higher frequencies, in fact most have their impedance specified at 100 MHz, right in the FM radio band.

At AM frequencies, 0.5 - 1.7 MHz, you could try using a wound common-mode choke inline with your phono leads.
Wound chokes can have an impedance in the 10000s of ohms at 1 MHz. They're designed to filter noise in switchmode PSUs, which generate a lot of noise up to 10s of MHz.

The CM choke forms the 'R' and the suggested capacitor from cable shield to chassis forms the 'C' in an LC lowpass filter. With a series impedance of 10000s of ohms (wound choke) vs 10s of ohms (ferrite), you could see much more attenuation of the radio interference.

Look at the datasheet for this choke. It has an impedance of well over 10K ohms thru the whole AM radio band:

https://au.mouser.com/ProductDetail/KEMET/SSRH7HS-M08134?qs=r5DSvlrkXmIc2ANjYUzUNQ==

A CM choke has two windings. You would make an in-line adaptor with phono socket at one end, the CM choke in-between, and a phono plug at the other end. Then repeat for the other audio channel (one CM choke per channel)

Phono Socket - - - CM Choke - - - Phono plug
(signal) ---------- Winding 1 ------- (signal)
(shield) ---------- Winding 2 ------- (shield)

This is doing the same job as the ferrite clamp, but with much higher impedance at AM radio frequencies. Is this something you could try? You might even be able to salvage a CM choke from a scrap PC PSU for free?

-Len.
 
Crossover inductors could certainly work as an experiment -- but what they reveal in terms of a test result would likely be meaningless. An audio frequency inductor usually has unknown/undefined properties at 1 MHz, because those attributes don't contribute to its behavior in a crossover.

Get the big toroid, fit the proper shunt capacitors, and start enjoying your vinyl.

Cheers