First you need to get some cable and some plugs.
This tutorial uses Klotz AC110 cable:
Purchase from Studio-Spares
Many other cables use a similar construction and the same methods can be used to build your cable.
The plugs used in this tutorial are: Neutrik ProFi
Affordable plug option: Red Plug , Black Plug
These plugs are quite expensive but have one unique feature that makes them better than other plugs; the ground connection is on a spring and is made before the positive connection when you push them onto a socket. This stops pops and bangs when the connection is made with live equipment. This should not be an issue if you turn off the equipment when changing connections, and you can use more affordable plugs which will sound just as good if you like.
First you need to strip the outer plastic cover back revealing the screen wires.
Twist the screen wires tightly together at one side of the cable and apply a little solder to bond them together. Don't over-heat the wire or it will melt the plastic near it, 3-4 seconds of heat should be enough to dab a bit of solder on.
Now cut back the plastic cover on the centre wire just a little bit, maybe 4mm. Twist these wires together and apply some solder.
Prepare the plug. Unscrew the outer body of the plug and slide it over the cable, so that when the plug is fixed on, you can screw the body back onto the plug.
Now take the plug assembly and hold it in a small vice, or a good trick is to use a pair of pliers with a rubber-band on the handle to make it grip. Apply some solder to the larger silver area where the screen wires will go.
Hold the screen wires in place and apply some heat to make the solder flow. Remove heat while still holding the cable in place until the solder has cooled.
Apply a little solder to the central gold connection of the plug and let it cool. Hold the cable centre wires next to the centre gold connector and apply a little heat. The solder will melt and the wires can push into the connector. Remove heat and let it cool.
Find the plastic retainer that fits the cable diameter and pop it round the cable near the plug. When the outer body screws on, this plastic clip will compress on the cable and hold it in place.
Slide the outer body of the plug back down the cable to the plug and screw it on over the plastic retainer clip. Do this all again at the other end of the cable!
Repeat as many times as you like
Pictures courtesy of RobHolt.