Dwights tip about the toy kite shops is right on. They sell little splicing and sleeving tools. Then anyone with a modern sewing machine can do the zig zag stitch in seconds just like the ready made lines. Use strong polyester thread. Do NOT ever tie braided spectra lines with any knot !!! ...even a figure eight knot will seriously weaken normal braided spectra.
Incidentally, I doubt you will save much money over buying a ready made, color coded, line set.
(If you use Q powerline, which has linear filaments inside (as opposed to braided line which is hollow inside), a figure eight knot is apparently acceptable ..and zig zag stitching does not work)