I've been contemplating the same thing lately for my km140s. I put some heatshrink on the mic bodies to start, and they came out nice. But the mics got HOT when I was heating the tubing to shrink it. I couldn't even hold it with my bare hand for very long. Of course, the bodies are metal, but I'm a bit concerned about trying to heat active cables this way with tubing on them. I found some heathsrink tape on-line that I was going to try, but now I don't know. Maybe I'll just use electrical tape like I do on all my other cables.
Of course, the big problem here is finding something that is large enough to get over the end of the cable, but will shrink small enough to be snug. That's why the heatshrink tape caught my eye. Any other thoughts?
Eric