The last time I made cables I got a long spool, 500 feet from a company called Clark. I forget the exact cost, but my friend and I figured it out that our cables cost about $6-8 or so to make. The cables varied in lenght (depending on how we cut them) from 10 to 20 feet.
People already mentioned this, but the two best things to have while making cables is a vice or arm to hold them, and a friend to help you. Actually, having a few people helps, because two people can soider connections while one person gets stuck trying to get the covering off all those little wires.
It's well worth it in the long run even though you might have to shell out what seems to be a lot up front to by the spool and connectors.
I don't know if anyone else had this experience, but we found making TRS connectors far more of a bitch than making XLR to XLR. We also had to make a set of XLR to TRS for our genelic speakers and that was a pain and we screwed one up because we got the connection to the sleve wrong.
http://www.clarkwc.com/