First off you need a decent iron. Then it really helps to have something like this:
http://www.partsexpress.com/pe/showdetl.cfm?&DID=7&Partnumber=360-670
to hold the cable.
OK, you need to make sure your cable is mechanically sound, which means stress does not bear on the solder joints. With XLR cables this is pretty easy, like with Neutrik connectors they have an internal clamp that holds the wire jacket. You just need to make sure that you don't cut back the jacket too far. An inch will do the trick.
Put the strain relief and the clamp on the wire first. I don't care to mention how many cables I've soldered only to realize that I left these off and I have to solder it again. Don't do that!
Next, strip an inch of the jacket. I use a razor blade, because I enjoy living dangerously, but there are safer tools for this.
Then you peel back the braided shield, and twist that together. I like to solder the ground wire first, then the two leads.
The key to soldering is you have to get the wire & connector hot enough to melt the solder. You shouldn't just use the iron to melt the solder, because that will not form a sound joint. So you put the wire in the connector, then you put the iron on it. With my iron, after about five seconds, I'll put a bit of solder on the tip, just above the wire, and in a couple more seconds, the solder will flow into the joint--hot solder, hot joint. I'll leave the iron on for another second or two just to be sure. The whole process takes about ten seconds. When the joint cools it should be nice and shiny.
It does take a little bit of practice, because you don't want to get the connectors too hot, as they are plastic and can melt. Also the insulation on the wires can melt, and if it gets too melty, could touch another lead and short your connector.
I have some soldering I can do tonight, so I'll try & post pictures.