(Not my idea) Hot-melt glue does a very good job of encapsulating electrical connections. If you first apply some glue around the connections, then place a piece of heatshrink tubing over the top and heat the lot, the contracting heatshrink will squeeze out excess glue and form a nice strain relief. If you're lucky, you can get the amount of glue just right so it doesn't squish back up the cable too far. Here's an example involving a piece of RG178 coax joined to a 3.5mm jack (Lumberg KLB4 - these are excellent little jacks, RS part number 505-1429):
Similar trick used in the connector for the Mitutoyo cable.