Heat-Shrink Tubing of 3 various sizes (from really small for single wire, to large one that can cover 4 pin connector). You can find it at RadioShack or Home Depot.
Pieces of wire (I got mine from CAT-5 cable I had)
2.54 mm Single Row Female Pin Header (eBay)
Wire strippers (24 awg)
3rd hand tool (optional)
Heat Gun or hair drier