To truly understand how a cable's impedance is calculated or what are the effects of impedance mismatch you'd need a great command of mathematics and electromagnetic theory. To understand how a wave propagates through a cable and how the cable construction changes it, that is far more harder still (think postgraduate degree level).
So simply speaking, a cable has a characteristics called impedance which is based on its geometry and insulation, mostly. If there is a mismatch between that and the impedance of what's connected at the beginning and at the end, you'll get reflections, which will roughly speaking make the signal fuzzy and unfocused - which will make detection of time periods imprecise through introduction of jitter, which might not matter in the case of plain data transmission where all the information is in the data itself, but in case of audio D/A where timing is also one required piece of information, it does matter.
So if you want to build your own coax cable, stick to cables that have 75Ohm impedance instead of trying to build it from plain wires. However, in majority of cases even just a pair of wires or any cable will actually work. I use whatever crappy yellow "coax" RCA I find on the floor all the time. You may or may not hear the effect they'll make on the signal but it's most definitely going to suffer.