The problems with heat shrink are:
1) you have to plan ahead, it only works if the wires are already inside the heat shrink tube. You can't just bundle up some wires in some kind of wrap and shrink it.
2) heat shrink is stiff once shrunk, so it works best on straight runs only. If you have to make a sharp bend, you are going to have a tough time.
3) while you can get around it with makeshift heat shields and just proper planning, the heat required to shrink it could potentially damage plastic components around it.
That being said, if you are soldering the connections, heat shrink is a great way to insulate the connection, particularly if you have multiple wires and are bundling them together. Ideally you want to stagger the solder joints so when you bundle it all up you don't have one huge lump in one spot, but rather spread the lumps over an inch or so. Planning ahead and being careful with your heat are the two best pieces of advice when using heat shrink. I can't tell you how many times I have soldered a joint and then went to push the heat shrink over it only to have the heat from the solder shrink it prematurely and have a difficult time getting the heat shrink in place.
And if you plan to solder your splices, take a few minutes to do some research on the best solder splice joints. Most people will tin both ends and then push the two wires together and heat them for a second with the solder pen and call it a good joint when in fact that is the worst way to do it. Tie the wires together so the copper is making good contact, then solder the connection, preferably while keeping tension on the joint. Solder is not a great conductor (well, silver solder is decent, but most lead based are not)