My favorite splitter is this one from plusSound. It's nice and small and understated.
Here's a potato quality pic of a cable I'm working on right now. I used a 45ACP bullet casing with the primer pocket drilled out for the Y-split and a 223REM rifle casing with the neck cut off for the 3.5mm plug handle. I built up a few layers of heatshrink on the cable and then press-fit the casings into place.
I'm planning to make a few headphone cables soon, and wondering, is a Y-split even necessary (if you're braiding)?
If you're braiding four wires then switch to two twisted pairs, would it actually come undone without a Y-split of some sort? So far I've only made a pair of speaker cables (following these instructions: http://www.instructables.com/id/Make-your-own-audiophile-quality-speaker-cables/) but that was four wires per cable, transferring to two twisted pairs at each end, and it worked just fine without a splitter.