Not sure if its worth building your own, as they are readily available on Ebay for around $10. I paid $15 including shipping for a cable. It has a nice little box half-way down the cord that contains the circuit, easily modifiable. The board in the box is easily less than 1" x 1" x 2". It can hide almost anywhere. I want to combine it into the same enclosure as my GPS receiver, effectively making a USB GPS receiver.
I'm going to be using one with my MP3Car player which is running on a BookPC (no serial ports). It controls the GPS receiver... Works great.