You will need several things, including pin removal tools: one for ATX power cables (24p, 8p, 4p), one for molex connectors. You can use the 24p tool to remove 3-pin fan connectors. Get some electrical tape and labels also--it will make doing the 24p that much easier. You will also need heat shrink (
www.altex.com has good stuff) and possibly a heat gun. I have heard of people use lighters and other things, but a heat gun is recommended (by me anyway) if you are going to be doing more than one job.
I did the sleeving of cables thing for a while, and now I have all the tools to make my own power cables (all you need is the correct gauge wire in red, yellow, and black for general cables, a crimper, and the connectors). It helps having a soldering iron and tinning the leads before you cirmp them, but it isn't necessary.
Have fun!
EDIT: I will add the tools that I have used--I'm sure there are others...
24p pin removal tool.
molex pin remover.
molex pin remover --looks cheap, but works far better than the one above
Will update with more.