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
Step 1: Cut Pin Header Row
Step 2: Prepare Wires
Step 3: Solder Wires to Pins
Solder wires to header connectors. Keep them parallel and check if they are holding.
Very important to know which color goes to which PIN. Use paint, nail polish or marker to mark one side, this will be your Pin #1.
Step 4: Apply Shrink Tubing
Using heat gun on lowest setting blow over shrink-tubing, until it shrank.
Now slide over very large diameter piece of shrink-tubing so it covers wires and header.
Shrink it with heat gun
Now use smaller piece of shrink-tubing, slide it over big one and shrink with heat gun.
First end of your cable is ready!
Before you start soldering second end, slide shrink-tubing pieces in reverse: medium, large, small pieces.
You did take note of which color wire goes to which pin, right? :) If not you can find out with a tester. Repeat process of soldering wires to the other end, and heat shrink-tubing.
Congratulations you just made one ugly, but functional cable! :)