The connections on quality cable assemblies are more reliable than on cheap ones -- almost a law of nature.
If you are not using high frequencies, you don't need to worry (much) about mismatch, etc., but intermittent connections are horrible when testing things.
When making your own attenuators, etc., try to keep the assembly short -- much, much shorter than the shortest wavelength you intend to use. For audio, that means that a normal aluminum project box with BNC connectors should work without trouble.