We discussed this recently—again for the millionth time. Follow Bill Whitlock's recommendation as illustrated below:
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If you make them yourself, use a 'regular' XLR connector and a good Shielded-Twisted Pair (STP) cable that does not have a drain wire. If you're so inclined, you can even use a star-quad cable like Mogami W2534. Additionally, it is imperative to maintain the twist of the inner conductors right up to the solder cups in the connector—at both ends. Using an adapter and a two wire cable gives you no rejection. If you use a STP unbalanced cable to the adapter, the 'untwisting' of the pairs in the adapter will defeat the purpose of using an STP cable.
If you buy pre-made cables, you should open them up and examine the layout and the build quality on both ends of the cable. Bad solder joints, stray wires, or untwisted pairs in the cable? Send them back and find another vendor.