Yes, all the cables matter, but I agree with Adriaan and others that you shouldn't go nuts about it, at least for this application.
In my stereo, I've listened to *lots* of different cables, including at least half a dozen power cords (that's right, the thing between the wall outlet and the unit), and they all make a difference. The rule of thumb is to spend your money first at the source end of the system, because (a) the signal levels are lower and (b) once you lose something in the path, you can't get it back later.
I ordered a set of Mogami for my rig (haven't picked them up yet), including a custom ordered 12 inch patch (I think their shortest standard length is 3 ft, or maybe a meter...). Lots of people seem pleased with them, and my sense is they are right on the knee of the price/performance curve - beyond which you start spending lots more for rapidly diminishing improvements.
I also feel that around $100, give or take, is about right for an instrument cable, and there are a number of good choices available, most of which will be a noticeable improvement over a garden-variety ProCo. If you care enough, try listening to a few, but as long as you get something reasonable then other considerations (plug style, strain relief, color, etc.) might be more important than relatively minor sound differences.
(Message edited by bob on April 04, 2003)