You'll need:
Printer
Labels
22 gauge multi-strand
(1) 3x2 header
(6) header pins
1/8" 2:1 Heat-shrink tubing
Here's a PDF I created to make the tiny little labels. They are printed on Avery 5163 labels. Be sure to turn off scaling in the printer dialog box.
http://dl.dropbox.com/u/2295566/BLOG/ICSP_breadboard/ICSP%20breadboard%20pigtail.pdf
The pictures should tell you everything you need to know how to put it together. The wire is just soldered to the headers, then covered with hear shrink - nothing fancy.
Each wire has a label that tells you everything you need to know - and it's set up to work well with my Arduino breadboard labels here http://forums.adafruit.com/viewtopic.php?f=44&t=18957. For example - the wire labeled " MISO-D12-P18" tell you it's the MISO line (master in, slave out) and that it connects to what the arduino would have labeled as D12 (or digital i/o 12) or if you are looking at the raw atmega 168/238 chip it would be P13 (or pin 13). Nice hun?
Anyways - that's how you use it. The pics should show you the rest. Note the trick of putting a label under clear heat shrink. It give a very professional looking, and durable label. Enjoy.
very much appreciated.