In two words? Very difficult.
Custom sleeving is a specialised job and it takes quite a fair amount of time depending on the experience of the person doing it. Which is probably why FrozenCPU charge so much.
You can give it an attempt though, braiding each individual wire is sure as hell going to take a long time, but if you get a technique going I'm sure anyone could manage it.
There are multiple other options to achieve cloth-sleeving without doing it yourself though. As you mentioned there are extensions available, such as the ones from Bitfenix, they have a range large enough to cover almost every cable-type in your system. They are (as are all Bitfenix products, annoyingly) quite expensive for what they are. Trust me, no matter what you do the cables behind the mobo tray will always look a mess.
The other option that I can think of is Corsairs custom braided kits. Keep in mind that they don't feature the 24-pin (To my knowledge you can buy it separately though), they will set you back about 60 quid and they're darn nice, but, each kit will only feature one colour (Ie, a red sleeving, or white sleeving etc...) which is balls if you wanted to get a two-tone effect going on. Oh and, did I mention they only work with the AX line of power supplies (apparently)? I suppose it still works out cheaper than a custom sleeving job.
That's pretty much all I can think of, I believe there are also some sole-trader people that will do the braiding for you but they may or may not be just as expensive as FrozenCPU.
By all means give it a shot. I think it's a bit too difficult honestly.