Karl Zemlin added this advice -
The other thing you can do when you make your own cables is "customize" them. I color coded my cables - bought pieces of heat shrink tubing in 9 different colors. I put a 2" piece near the connectors at each end of the cables. I can look at the mic, glance a the mixer, and know what goes where without tracing through the pile on the floor.
I also printed some labels with one of those little label makers they sell at Office Depot and such stores - I have both ends of each cable marked with my name and the length of the cable. Clear shrink tube protects the labels.
I have found FULL COMPASS
http://www.fullcompass.com/ to be a good, economical source for cable and connectors. I bought Switchcraft XLR connectors, just 'cuz my stuff is pretty low duty-cycle and they were less expensive than Neutrik. If I were in a situation where I was doing a lot of live work and had other people handling my stuff I'd probably go for the Neutrik - their strain relief is a lot better.
I get very small heat-shrink tubing to use on the shield - over time stray strands might come off and cause a short if not protected. I also heatshrink at the end of the cable jacket.
Small diameter solder is much easier to work with when making up cables - and a wet cellulose sponge is great for keeping the tip of the iron clean.