Pretty easy to make. here are some instructions and here is a RJ45 crimper.

Unless you're doing something like power over ethernet, I don't think anything would get too hosed up if you get something switched around, but data transfer would most assuredly suffer.

Easy to make. Use a crimper. Do your research (e.g when to useSolid cable vs Stranded cable [and make sure you get the correct connectors for your chosen type] as well as cable specs e.g CAT5 vs Cat5e vs CAT6). Do a few practice runs beforehand. Your first few will be rubbish.

A bad cable could conceivably damage your network card etc....

That howto above is good. I think there is another one on WikiHow.