Looking for really fine cables at really low price

I have made many balanced cables with other wire.  Just use tinned copper braid shield for shielding.  Order about a third to a half longer length than your signal cables since it will become shorter as it expands.  There are other aspects you will want to consider such as whether to simply twist the two signal wires together or to wind them around a core, whether to place the ground inside or outside of the shield (outside is my preference), and whether to connect the shield at both ends or at only the source end (source end only is my preference).  I have had great luck with Furutech FP-601M and FP-602F connectors (I like gold but they can be had in rhodium also).  Good luck.

Thanks Mitch. One question;

1. Do I need to put the whole assembly in a shrink wrap, I don't think you can leave braided copper shield just like that? 

Thanks.

......and why an 18 gauge (thinner) would be better than 16 gauge?

No, you don't need shrink wrap but I would recommend a techflex covering over the braid shield.  DIY'ers don't always consider the effects of long-term wear and tear.   Some manufacturers would probably put the twisted pair inside of some type of tube, or an elaborate wrapping material,  before putting them inside of the copper braid shield, so that repeated bending and rubbing couldn't possibly cause wearing of the cotton sheath over the conductors.  Most manufactured products also use filler materials so there are no wires flopping around inside of the assembly.  You might want to consider a middle ground by wrapping the conductors in teflon tape.  To be clear on the construction, my recommendation is to shield the conductors inside of a tinned copper braid shield connected only at the source end and a full sized (same gauge as the conductors) ground wire counter-spiraled outside of the braid shield and connected at both ends.

Some might say the shield is not needed and creates more sonic problems than it solves.  It would be simple to make up a pair without the shield to get a feel for how they will sound...you can always add the shield, techflex, heatshrink etc. later.  I have never had a problem with shields, either on bulk cables I have terminated or on cables I have constructed from basic wire and other materials.  

Regarding wire gauge, there are too many theories to get into here on both gauge and geometry, but I suggest you look some stuff up on this forum and other web-places.  Many would think the 16awg wire to be too thick for interconnects.  However, Furutech's FA-alpha S22 is actually a little larger than 16awg so it is not unheard of.  Many manufacturers use wire gauges in the 18 to 26awg range.  This Duelund or WE wire is inexpensive to try so, why not?  The connectors can be expensive but if you don't like the result then just take them apart and reuse the connectors on your next experiment.  If you want to pay less than the cost of the Furutech FP-601/602 series, try their FP-705/706 series of connectors, which are also quite good for the money.  

Mitch: This is what I understand to make XLR cables; 

Pin 1: Ground/Shield
Pin 2: Positive
Pin 3: Negative

I think this is how I made Belden IC's.

Are you saying that just connect Pin 2, put the shield on and connect only at source to Pin 1, and then wrap another 16 gauge Duelund on the shield and connect to Pin 3 on both ends? Just want to make sure I understand, not an expert on this. Just ordered Furutech 601, and 602, and wire from PartsConnexion, they have 25