First I measure out the length of wire that is needed, and strip the ends. Then, I have a 1/16th diameter piece of steel wire that I ground a soft pointed end on (a very fine knitting needle works great for this instead of the steel wire) that I use to open up the flat braid. (This is the only finicky part.) I push the wire into the tube of braid, and pull the braid taut. Then, measure out some fine shrink wrap. I like clear, just because the copper braid is pretty. Before shrinking the wrap, cut a small piece of wire to attach the ground at one end. On this wire, I strip out 3/4 of an inch and poke this into the braid shield, then shrink the outer wrap.
If a pedal has any gain, any noise picked up by the input wire gets amplified by the gain, so inputs that reach all the way to the footswitch get this treatment. I do also do the out feed; on most pedals this is not necessary, but ones with noisy internal parts (LFOs, etc.) seem worthwhile, and, as Fig has noted, symmetry can’t hurt. Once you are used to making the “coax” it goes very fast. I did this initially because it was faster than cutting and stripping/isolating coax. (Plus, I do this in audio equipment builds, and I strongly prefer solid core wire.)