Well in order to make your own harness looking at the 2 step in the pdf that shows the MFL/GRA Wiring diagram all you need to make is three wires
A1 - A6
A2 - A5
A3 - A4
All you need is some wires in about 3 feet in length for
A2 - A5 and
A3 - A4 and for A1 - A6 I would make it at least 4 feet maybe a little bit longer because it has to reach to the DME/ECU through the firewall.
For the socket contacts just go back to BMW or order them I forget the part number but you can't just buy the socket contacts themselves you need to buy the actually little wire thing whatever it's called. If you already have the multifunction steering wheel you can see underneath it what I'm talking about. I will post a picture later. The part only goes for about $10 - $15
and all you need from that wire set is 4 socket contacts.
Don't worry about A4 and A5 you dont need to use the connectors it shows in the diagram. Instead when you get to A4 and A5 and have to cut the wires in the LCM wiring harness just use butt connecters they worked fine for me.