In the picture below you can see that they look really good and I can attest that they work a heck of a lot better than my 'paper clip and alligator patch cable' setup I was using before!
Step 1: Tools and Materials
50Ohm, RG58/U coax cable with male BNC connectors (length is up to you, I used a 2' one)
Heat shrink tubing
Wire (~24AWG, I used solid core breadboard wire)
Female headers (0.1")
Male headers (0.1")