We started using the AMPMODU series of connectors for wiring our sensors to the robot controller. For a PWM, DIO or analog input you can use this connector
The crimper is expensive, but with a small pair of pliers and a steady hand you can attach the contacts to your wire. We use 2,4 and 6 conductor wire (22-24G) from Home Depot. It is stranded and robust enough for use on the robot. We touch a bit of solder to the wires to make sure the contacts don't come off.
Using this system we made wire harnesses for the IR, gryos and gear tooth sensors. The contact can be easily removed from the housings using a sharp object and reinserted (good for fixing pins out of order on the IR board!).
Of course you can sacrifice PWM cables for connection to your sensors, but that approach also gets expensive.