You just need some wire, stereo 3.5mm or 1/4" connector, and a stereo 2.5mm connector, all available from
www.marketek.com. Which connector you use or wire depends on what you want. Everyone was recommending the Canare L-4E6S cable, so that's what I used. I also wanted a 3.5mm connector with a small profile, so I used the one from Switchcraft. Switchcraft also makes right-angle connectors if that's what you want.
I don't remcommend the Tecnec 2.5mm plug though. It's tiny and frail. The plastic melts instantly upon contact of a soldering iron. When I soldered on the 3 connectors and tested the cable, one channel was dead because the plastic had melted and the contacts were touching each other inside the plastic. The 2.5mm connector from Radioshack is much better, easier to work, easier to solder the wires on. It's found in those pull-out drawers. The barrel or cover for the Tecnec fits inside the hole on the HD590 (and other similar headphones), and it screws perfectly into the connector from Radioshack.
The entire Canare cable doesn't fit inside the 2.5mm connector or barrel, but it does fit around the wires+shield. So I ended up stripping about 2" of the plastic covering, put the barrel in, then pulled the shield away and stripped the wires. Then I soldered the wires. Then I screwed in the 1" barrel, which left about 1" of exposed shielding. I wrapped that up with teflon tape, and then put a heatshrink cover over the teflon.
Canare wire: $0.34/foot
Tecnec 2.5mm conector (I just used the barrel): $1.20
Radioshack 2.5mm connector: $1.99
Switchcraft 3.5mm connector: 3.49
Labor: <1 hour