The real proper way is using an interface to balance the signal, like certain DI's who are made to do it. But you can get away without it in most cases (read, when the cable is short enough, not longer than a few meters) when it's from unbalanced to balanced (not reverse) with the right cable also.
Best then is to make it yourelf, but you need to know how to solder. How it should be done is how Babadono explains it. What commercial cable is done right, i don't know, i make them myself. But i know a lot of the cheaper ones like the monoprice cables are done wrong. The cable itself is good enough, but the way it's connected to the plugs is wrong and that may cause ground loops and so.
If you make them yourself, find good quality raw OFC (mainly for durability) stranded cable and use quality connectors like Neutrik. Neutrik is not cheap, but not very expensive neighter and high quality. It's a standard in pro audio since decades. Mogami, Canare, Belden and Blue Jeans are very high quality and reasonable priced on cabling (and their cheapest range is often good enough). But there is a lot of high quality generic cables also. And even CCA (copper clad aluminium) cable is not that bad for this, but worse than pure copper (OFC). So don't spend to much on parts, it's mainly important to connect the cable right to the plugs and have a clean connection (so soldered right).
