The glass on most single-ended MH bulbs is UV shielded, so you do not need a shield for those types. I do have a piece of acrylic between my bulb and tank to prevent splashing and lower the heat transfer a bit.
I bought a kit with a reflector, mount, ballast, and bulb, then built an acrylic enclosure to fit around it. I added 4 computer fans to evacuate the hot air.