Doing it that way won't break anything. But, long term you should get a real component cable. For best picture all 3 conductors should be from the same reel of 75 ohm cable and all 3 should be exactly the same length.
If you DIY a component video cable:
a) Use 75 ohm co-ax, probably RG-6, single shield not quad shield with an all copper center wire. (quad shield is for higher RF frequencies)
b) All cable should come from the same reel.
c) The 3 cables should be the exact same length. (I don't know the tolerance, maybe less than one inch)
I just use mid-priced commercial pre-made cables. About $12 for the triple.
I'm nearsighted so video quality isnt important to me. I doubt theres a noticeable (if any) difference between a "good enough" cable and a high end cable.
These cables make good audio interconnects too. just peel off one cable from the triple.