I don't know much about sleeving, I've never used it, but I see most people using 550 paracord 1/8" for the smaller wires going to the headphone, 1/4" paracord for the larger section, bought in bulk either from amazon or ebay.
I also get my heatshrink from ebay it's much cheaper, I got some from radioshack, but you can get it cheap on ebay, the clear sizes and black are my fav. There's also the nylon mesh like here: http://www.homegrownaudio.com/nylon-mesh-1-8/, I don't like it as well, it's stiffer and rougher not soft feeling like the paracord.
I've never used any kind of ear guide around the ear so I can't help you, if you look at some brands like Toxic Cables they don't use it either..
http://www.avoutlet.com/index.php?dispatch=products.view&product_id=4514 Here's a link to a viablue Y splitter..I usually just use clear heatshrink and a wood ball that I've drilled a hole through..
Toxic Cables Wire is my favorite, though there's also DHC, I'm going to look into using mogami or canare on a future project just because I never have before..