I have 8 in my wall, and I want to put in 8 more in the other room.
The easiest way is to buy the connectors and drill a 3/4 " hole in the wall for each. The hard part is soldering... I took apart a mic cable to copy the wiring.
If you want to get fancy you can make a metal plate for the wall and label the inputs and outputs, but drilling through metal is difficult. I have also used a "Nibbling tool" from radio Shack.
You drill a small hole, then nibble out the rest of the metal.
One more tip... after soldering the wires test them out, then cover all of the connections with hot glue. This acts as a strain relief and- believe it or not- helps the shielding some how to make the connection quieter.