Works. I used RG-59 coax and built the cables myself simply because I had the time, parts, and it was fun to do.
I would emphasis hdtvpros point about using only the yellow. The red/white (audio) part of these cables have next to no shielding, the yellow part has at least some shielding. While it's not RF, you still need a minimal amount of bandwidth to carry the signal. Good shielding goes a long way here.