Depending on where you live it can be hard to source all the material you need, but you can order everything on AliExpress.
Although the usb 2.0 standard requires a shielded cable it is not necessary, especially depending on the application. I will use my cable for my keyboard and then shielding is not needed.
All you have to do is sleeve your cable, solder the connectors, and use heat shrink. Although the steps are clear, it can be a bit tricky. E.g., you need the right amount of wire exposed when soldering the connectors. If you have too little it is hard to get the wires to fit on the connectors, and if you have too much wire exposed the housing of the connectors will not reach to surround the thick part of the cable.
It can be a good idea to watch someone make a cable before you do it yourself. Especially if you are planning to make a coiled cable, without the right technique it can end up looking a bit strange. The youtube channel CruzCtrl is great,
There are a ton of different detachable connectors that you can use when making your usb cable. The important thing is that it is a 4 pin connector, such that is matches the usb standard. These have been very popular lately in the keyboard community. The Aviator connector is the most common one and comes in different sizes. The GX12 and the GX16 are the most common ones, I have a couple of GX12 at home which I think is a quite nice size for a usb cable. The YC8 connector is slimmer than the Aviator. Then there are also Limo connectors and Mini-XLR connectors, they are quite similar to the YC8, although more expensive.