Over at pc-critic conrad has put up a great guide on how to create your own rounded cables. Looks great, and actualy works- i ve made two.
Hopefully, if you've managed to follow this ok, you should now be looking at something like this (below) - Not bad eh. If all has gone well, you've just saved yourself about £15 on a round cable, and with this you can choose your own colour, or perhaps even a combination of colours. (ed. i want a rainbow!).