you can make your own yes but you can also look there :
https://shop.aquacomputer.de/index.php?cPath=62_3783


It will most likely be cheaper than get the molex crimping tools and picoblade connectors in bag of hundreds
You can also just take RGBPX to RGBPX extensions, cut them and solder whatever you want to them, like stnadard ARGB, corsair, JST, whatever

You can buy individual conductors of various lengths with Molex Pico-blade contacts already crimped on. Here is a LINK. I think these are the same as the RGBpx cable conductors but am not 100% sure. If you search this forum there are posts that include specific details and part numbers.
You can also buy 4-conductor Pico-Blade cables but I think the pinouts are different. Here is a LINK to those. Note that there are many versions so you need to figure out the exact part numbers. Here is a LINK to the Molex Pico-blade connectors.

I have always just bought the Aquacomputer RGBpx cables even though they are kind of expensive. Making your own may be worth it if you need a lot of them, or want them to be custom lengths. Note that the Leakshield, High Flow Next, and other Aquacomputer products usually include the cables that are needed to get the device up and running. Some more specialized cables (like Alarm cables) have to be ordered separately. Double check the part numbers before ordering. Some of them look quite similar and its easy to order the wrong version.