You can buy these things too, so maybe there is now use in making your own. But here is how it could be done.
The coil cable I use here is the super cheap kind from your local 99c store. I don't know if the cables inside the more expensive versions from Radioshack are any better, but these wires are quite bad and messy to solder.
The other (more expensive) option would be to order a 4 conductor custom spiral coil cable from: http://www.cablescience.com/
and ask if they offer shielded coil cables. Although I'm not sure how necessary this is, especially over short distances.