I explained this in detail a while ago about XLR and DMX, differences, names, etc. Have to see if I can't dig it up.
As for labeling cables, might I also suggest labeling for length as well. Simply take some e-tape and wrap it around the cable at each end at the base of the connector. Don't do it on the connector its self, because you might have to lop off that connector because the cable gets pinched/cut in half. You can re-use the connectors on any DMX then vs just what length it is labeled for. We use ROYGBIV minus the I since there is no Indigo colored e-tape. So it works out like this:
Also have cards on the insides of the lids of our cable caddies explaining the color scheme as well (can see then with the case open). Every cable in the shop, minus large snakes and feeder, is labeled in this manner: XLR, NL4, NL8, sub snakes, DMX, A/C, Stage Pin, L620, Multi, VGA, composite, RGBHV, etc. Helps cut down on confusion a lot. I can tell anyone to get me two 25' L620 cables and they will know what cable I want without digging through cases and guessing the length.
We don't really label XLR and DMX however. All the XLR in the shop is either CBI or Whirlwind. The PVC jackets are much duller then the jackets on the DMX. Likewise, 5 pin is much fatter then 3 pin, so that can be told from a glance. When we pack shows as well, the lighting cable and the audio cable don't mix. For strikes, my lighting guys generally aren't wrapping XLR and audio guys aren't wrapping DMX, so that is generally not an issue. Likewise, when it gets back to the shop, the cases are emptied and everything is put back onto the wall. Now I know some on here aren't at that level, so Chris's suggestion of labeling DMX and XLR with something around the connector is a good idea.