To reply to the OP: Some simple attenuators can be great to reduce the impact of mismatch.
A DC block can also be very useful when you want to be sure you don't put DC up an instrument or other component.
Torque wrenches are completely necessary, if you need to measure right down near the noise or with high dynamic range
Torque wrenches are mainly needed for repeatability, and to tighten far enough so it never loosens on its own without risking damage to the thread. In fact, most of those 'mythical special procedure' things us RF guys do has little to do with loss in a single measurement, and everything to do with repeatability.
1 dB precision is easily achievable with DIY cables, you calibrate them out for insertion loss. If your return loss isn't good enough to enable that, the cheapness of the connector isn't the factor, it's the design of the connector and the joints. So cut it up and have a look inside, calculate the impedances and see why. Then avoid that particular type. I have no experience at 18 GHz, I run out of equipment at 3 GHz but I have no problems uo to 3 GHz with DIY cables.
It is not necessary the 'cheapness' of the connector - it has to do with the tolerances and surface finish - but often, cost is indicative of quality. This is why precision standards have much finer center contacts, or even spring contacts within a solid circular center contact. (see picture) You can only calibrate out the cable, if your cable and connection is repeatable enough. Just do a calibration on a VNA (with even very good cables), and then measure an attenuator, and just move the cables around a bit. Even on the VNA at work, with cables that cost more than my car, the S11 will be dancing all over the place, which can be a big deal if you are trying to do a measurement of input/output impedance so you can design a matching network, or are running load-pulls.
The expensive cables are often expensive not because of RF performance but the amount of special sauce put in to make them nice and flexible.
Yet the most expensive set of cables I own, a set of Gore Phaseflex cables, which would cost you about 7k$ new, has a solid core.
To my understanding (I am by no means an expert on cable manufacturing) the main differentiator between different cable grades is
A) the concentricity of the center conductor, which has an impact on bending performance (as a less perfectly centered center conductor will have a larger impedance drift when the cable is bent)
B) the periodicity of the outer foil (if it is foil...). As this gets less periodic with less overlap, it starts to impact phase, even more so under bending. I have found that certain chinese brands of coax, esp the thinner ones, start to show notching well below their rated frequency (this is due to the periodicity of the grooves made by the rollers during manufacturing. It causes a small, but highly repetitive discontinuity, which will show up as a very narrow notch filter at higher frequencies. Can produce very odd effects when measuring a QAM signal that has that notch in the band).
Expensive connectors contain nothing that the cheap ones don't other than correct geometry, and even then I find that the cheap ones are rip offs of expensive ones and thus even they are close enough to perform well. As long as you're buying connectors with PTFE dielectric material you can't really go wrong. More often than not, the size of the solder blob on the pin has a bigger effect than the connector brand. This I have found very commonly with N connectors I have seen that other people have made that I have ended up with.
I think most cheap connectors aren't PTFE filled, but PE or Nylon. Cheaper, easier to work with, but gives you non-ideal impedances (but again, at the length of an SMA connector, it really doesn't matter under a few GHz). Center conductors are often misaligned - not enough to damage your cheaper cable, but I wouldn't risk connecting them to metrology/air-core connectors unless I first verified with a gauge set. I also tend to find that the center conductors on the male SMA connectors are way to long, which risks damaging the female one. Diameter is also too high, which will bend the center pins of the female connector out too far, resulting in poor performance (impedance mismatch) in the best case, and a broken female connector in the worst case.