You can check the wiki section for help on different connectors and terminating them. While this thread is SUPPOSED TO BE A GALLERY, it is chock full of people sharing how they built stuff. I know it takes a while, but if you search for what you want to know, you will find enough info to make your headspin (and to make a great cable). It is better to do it this way because if you just follow the advice of just one or two people, you will end up with a cable that they like, and not necessarily what you like. Take the time to learn and enjoy the process.
To help you out just a little bit, avoid teflon wires if you want to avoid a stiff cable that picks up mechanical noise easily. Silver plated copper is great if you can find it in polyethylene, but otherwise is better off in interconnects and internal wiring. Stick to gauges between 22 and 28, with 26 and 24 being the most commonly used. Mogami or Canare wires stripped out of their starquad cables are great starter wires available at very reasonable costs. Beyond that, you have BTG Audio (Mogami wire), and then a whole slew of guys that have nice OCC wire in multiple configurations: Doublehelix Cables, Toxic Cables, Plussounds, etc. Personally, I think Jena wire and ALO wires are ridiculously overpriced and should be avoided unless you really want to hook up 18ga wires to your headphones. Personally, I would focus more on making a good looking cable with the ergonomics that you want, especially considering the headphone ($300 worth of silver won't turn your headphones into something they are not).
I have posted links to braiding techniques multiple times, you should be able to find them pretty easily.
Good luck, have fun, and post pictures.