The Pimped out guys have a really sweet write-up on how to do some slick PSU cable sleeving. Very professional-looking.

"The last time I sleeved a PSU, I advocated cutting off the auxiliary connectors if they weren’t needed, and cutting the power looms down (in terms of both the number of connectors and the length of the cables) to the bare minimum required to power the devices. This time around I wanted to keep the PSU the same way it was as it left the factory (apart from the addition of sleeving)... Another benefit could be that in the event of PSU failure, I could always strip off the sleeving, and return the PSU under warranty, as I wouldn’t have opened the casing at any point."