I bought the 20-pin female connector from newegg for $4, the naomi pins/plugs from segashed. The wire came from a busted power supply. The red connector sleeves and on/off button are from wal-mart. There are fancier on/off buttons, but that was the cheapest one, and I like cheap.

I also made a gd-rom adapter, forgot to take a pic of it, but its nothing special, just a modded molex adapter.
With a little time, a decent stripping/crimping tool, and research/testing (really have to stress that like the original post does), there aren't too hard to make.
Hope this helps.
http://sites.google.com/site/joystickse ... Naomi1.JPG