This can be done with a crimping tools, pins, and some wire. Not only that, it's cheaper in the long run to make your own cables. I've owned the Pololu crimping tool for quite some time but I never could get it to work. More to the point, I didn't know how to use it. The website had two pictures and that's it. No instructions came with the it. I made a video that will hopefully save someone from the same frustrations.
Things needed:
Pololu Crimper
Wire Strippers (Can be found at Radio Shack, Fry's, hardware stores, etc.)
~22AWG Wire (Solid core or stranded will do)
Female Pins and/or Male pins
Plastic Housings
Funny enough, I returned to the website today to find that they posted a video a month ago. For me, that's 11 months too late.