Looking at the Raspberry Pi Cobbler in Adafuit's wonderful collection of RPi accessories, I decided that it would be a much better method of connecting the the RPi GPIO to a breadboard than an old IDE cable with wires stuck in the end. I didn't think I could justify paying $8 plus shipping to the UK for a bit of PCB with some headers. So I decided to try and make my own with some strip-board, headers, and an IDE cable.
Step 1: Preparing the Strip-Board
First I worked out the size of the strip-board, it needs to be 13 holes long by 4 wide, with the copper strips running parallel to the short side. I didn't cut it out yet, I just marked it so I would have a bigger surface area to hold while soldering. Use a knife of some other tool to cut the copper tracks down the middle of the strip-board to keep each row of pins separate. Make sure they are all completely isolated using a multimeter continuity tester, or resistance meter. You need to be sure they are isolated now, because it will be very hard to get to it once you've soldered the wires on.
Step 2: Soldering the Headers
Now you should solder the headers to it. Push the short end of the headers in from the non-copper side of the board, and solder them on the top, copper side. I soldered the end ones first to hold the headers in place then did the rest. I also found it useful to use a bit of strip-board under it to hold the pins straight (The plastic holding them can go soft when you are soldering). Once I had the pins all soldered I checked it fitted in the breadboard (if some of the pins are a bit wonky it can be quite hard to get in, try straightening them with some pliers).