Personally, I like to make all my own leads and extensions. Besides being able to customize the lengths it allows me to use various plugs. My favorite is the ashlok type plug where you can have up to 12 wires in a single plug. Assuming you run all your leads correctly you don't have to label anything as the plug only goes together one way.
Other options are MPX type plugs, either the green ones or the red ones from Dreamworks.
If you want to have a bundle of connections with each lead being unique you could use color coded plugs like this:
http://dreamworksrc.com/catalog/comp...gs-p-2619.html