Yup, that certainly is the cheapest way to go balanced. Headphones which have two separate wires going to L/R earcups are "balanced", but terminated to single ended. all you need to do is change the 1/4" termination to a 4 pin XLR, or two 3 pin XLRs, and bam, you got a balanced cable. =) Done this many times, and is definitely the cheapest, and very easy if you can use a soldering iron. Even if you can't, its a good way to learn!
I can't believe I forgot about Neutrik connectors. I use them all the time! You don't even have to solder, there are screw down versions available, and they are like $3 each from parts express.