There may be thousands of connectors, but break it down. Pick a brand. Molex? AMP? whatever. Stay within the brand. It's not like it matters what brand you pick, as long as you have a supplier that stocks it.
While anything is possible, I don;t expect AMP pins to lock securely into Molex housings. SO look for pins that are suited for the housings within the brand.
No a particular style of pin will come in many varieties. There will be various contact surface materials, various pin materials, wire size, and other things. For guitar amps, you don;t really need gold plated pins. Plain old tinned phosphor bronze or whatever the vanilla pins are within a selection will do. The pins each crimp onto a wire and its insulation. Pins then have various shaped for thin and thick wire. Usually the specs are for a range - 26-20ga, 18-16ga, whatever. What size wire you using? Now the difference may look subtle. Basically there is hte pin itself, then there is the end that gets crimped. They start out with a little flag-like bit sticking out on either side of the thing. These flags get wrapped around the wire and squeezed shut. For fatter wire, the flags are longer to reach around it. SO using a thin wire pin around think wire is a bad idea since the flags may not reach aroudn teh wire far enough to secure it. On the other hand, using a pin for large wire on smaller wire, you find excess flag length. You can often durl the excess up with the crimp tool.
A basic hand crimp tool works fine. I have Waldom, and I use it on Molex as well as AMP. I actually talked about it with asn AMP rep one day many years ago and asked if it was OK for his brand pins. "Oh sure, close enough."
But you do want a real molex pin TYPE crimper. Ther are also crimpers for wire splices that basically just crush what is in the jaw. The Molex crimper has little U-shaped spaces for the pin to nestle in, and a mating m shaped side to curl the pin flags down. A crushing crimper won't do that.
There are fancy ratchetting crimpers, some cost hundreds of dollars for a hand operated one. You don;t need that. SOmething like this for under $20
http://www.mcmelectronics.com/product/WALDOM-ELECTRONICS-W-HT-1919-/21-3000
Sticking with Molex, the inline, row of pins connectors - the ones often conected with ribbon cables, is that what we are after? They come in two sizes, the larger ones like used on transformer connections or something are .156 inches aprt, and the smaller ones have pins .1 inch apart. Molex calls these KK-156 and KK-100 series. Each has its own pins and housings. If you are starting with male headers on the boards, you need female housings and pins for them.
yes, you have to crimp a pin on the end of each wire. However, I think when you are connecting a 5-pin header to a 5-pin header, you do not in fact have thousands of tiny mteal pieces to crimp, you have in fact, just 10.
Now AMP pins won;t fit in Molex housings, but in general, the KK-156 type connectors seem generic enough that I don;t care whose male pins are sticking up, the Molex brand females will work.
SO to make a 5 to 5 cable, get your wire and note its size. get a couple 5-pin female housings...
Oh, the housings. SOme are "insulation displacement" types. The pins are in the housing already, and there are slots in the top where a wire gets pushed down in, and the pins cut through the insulation and make contact with teh wire. This is not simple for a home shop kind of guy. These are what the commercail gray ribbon cables you see all the time are using. FOr individual crimp pins, there are the regular housings.
I mentioned the two sizes, .100 and .156, you also have to select the number of pins. The plastic housings come in single pin, 2 pin, 3 pin, on up to 20 pins. You would want 5 pinners. I carry 20 pin ones in my kit, because I can always cut off any size I need when in field service. And in a pinch, I can replace a 10 with a 4 and a 6 side by side, or whatever. But since you are ordering, just get the size you need.
SOme have the little locking lip along the bottom, some don't. That is your choice. Just look at the pictures in the catalog, the most basic ones are probably what you need.
OK, you have your housing, get a bag of pins to fit your wire size range, get a crimp tool. Crimp pins on the wires, and click the pins into the housings. Voila!