Thanks for all the comments folks. edit:
I forgot to mention, I bought my sleeving from McMaster-Carr. Do a search for "cable sleeving" > Sleeving > Expandable Mesh > Easy Cut. This stuff is WOLRDS better than the stuff you get in a standard kit. So much easier to work with and looks much better to boot. 1/8 inch comes in lots of 100 feet for about 25 bucks, and its worth every penny. A 100 foot spool should be enough to do your whole PSU. I didn't dip into my second roll until I got into my fan cables.
Iandroo: As for the tool, I just used a spare flathead screwdriver bit I had laying around. I didn't take any pictures of the process, but this is how I did it:
First, I clamped my rotary tool (dremel) to the table with a fiberglass cut off disc attached, creating a makeshift mini bench grinder. Then I just ground away until I had what I needed. It took a lot of back and forth testing with a spare cable to get it "just right". The bit heats up quickly, so I had a cup of water on the bench with me to cool it off frequently while I was working. (Needless to say, but safety goggles are a must for this operation as well).
I actually made a couple of them before I got to one that worked well for me. Here's a couple of pointers: the width of a reinforced cut off while is actually a tiny hair too narrow for what you need. What I found worked best was to cut the center portion out first, and to actually make a very very very shallow "V" shape cut out. I'm talking almost imperceptibly shallow, and just barely wider than the cut of a disc at the "root" end. Then chew off the outside edges until you have two nearly paper thin prongs. I used a small file to help finish it off.
When done, ever so carefully with a pair of needle nose, bend the prongs of the shallow "V" inwards very very slightly. The end result is a very shallow bow to each of the prongs. Tool steel is very rigid, but it is metal, and if you bend it too much or too often, it will break, so be careful with that step. When you're done, you should be able to slip the tool in easily, and the wire should slide right out with a little jiggle.
I did my 24 pin and both 6 pins with it, and it seems to be holding up just fine.
Hope that helps!Edited by Warfarin88 - 12/22/08 at 5:08am