These cables/adaptors are very simple to make.
What Jingles says is a "Turn-around" is not accurate. That would be something that is either a gender changer or a rolling of wires to reverse their orientation. Thats not the goal here.
What you want is an adaptor. You're going to adapt a male or female 3 or 5 pin to the opposite. If it was me, I would make multiples, as you can adapt back and forth.
Here is your wiring schematic, which is true regardless of which type of connector you are using:
Pin 1: Shield. DO NOT CONNECT the shells to shield!!!!
Pin 2: Data -
Pin 3: Data +
That's it. Just keep your wiring constant: 1 to 1, 2 to 2 and 3 to 3 and you'll be fine. You should have no issues at all.
There are also pre-made adaptor plugs:
5 pin to 3 pin adaptorNice and neat and clean, but unfortunately, could be easy to lose or get stuck in someone's pocket and walk away.
Another option would be something like the OptoBranch/4 splitter, which has 3 and 5 pin IN and 3 and 5 pin OUT(via a 4-way split), with both ports being active on all splits.
Your only problem will be getting the 5 pin XLR-type connector. But do not worry, these can be readily ordered either online or via your favorite musical instrument/pro audio store.
If you're going to make your own, I have a couple of suggestions since you've got the soldering iron out anyways:
Make multiples and make a few DMX terminators. Heck, I even saw a basic tester for DMX signal, so that might be another low-cost project for you. I know it is going to be one for me. I haven't had issues with DMX signalling yet, but I figure might as well be armed and ready in case disaster strikes!
Note: I can not find documentation to show 3-pin DMX as being the accepted standard. Companies that use the 3-pin XLR are doing so to save the client/end users/themselves money as the 5-pin connections are more expensive.
Oh, and because it hasn't been said:
PLEASE, PLEASE, PLEASE!!! use DMX-512 cabling. It may look and feel like microphone cabling, but it's properly rated for data. It also doesn't cost much different than mid-grade microphone cabling. In fact, if you want a recommendation, I recommend Accucable, which you can buy in pre-made lengths or in bulk reels.