1) Use standard cat 5 cable (the normal DSL, Ethernet cable you use for high speed internet)
If you look at one end of the connector you can see the color pattern to be something like the image to the left.                         

2) Cut the cable about with enough slack for you work with wires.  Cut from one end of the connector, 6 inches would be a good amount. 

3) After the cable is cut, on the bare end of the cable (without the connector), strip off the rubber shield around the wire and separate all these wires from each other (they are normally twisted). 

4) Strip wires 1, 2, 4, 5 so you can see the wires.

5) Connect wires 1 & 4, 2 & 5,  and you can leave the rest of the wires alone.

6) Secure the wires so they are touching any other ones and cover them to protect the connection (i.e.: electric tape)

There you have it!  You're very own T-1 Loopback Plug at no cost to you, just a few minutes of your time! ENJOY!

PS: If you're ever asked to make a FEMALE loopback cable, just buy the female plug at your computer store and stick the wires in the same order.