I got some aluminium sheet used for autobody repair (it'll be in the same section of a good hardware store, something like Pep Boys. You would want to get the sheet at least in between the EM field and your amp, so weather you would need to build a box or not would depend on just where you are placing the amp, and where the EMI is coming from. Have you checked into the placement of your cables as well. It wouldn't do any good to shield your amp if the signal cables run through the EM field as well. If they do, you'll need to shield them as well. I think first thing I would do is try to figure out the specific source of the interference and see if it could be corrected with a new resitor plug or plug wire or something along those lines. It would be WAY easier on your soul to do a plug change than to go through all this trouble to build custom shielding.
Good luck.
Richard