All RCA connections are the same, although the cables vary. In the article, the point seems to be about upgrading to a better shielded cable. If you want to do this, I'd suggest going to Radio Shack and seeing what they have. I bought a shielded audio cable there a long time ago to use for a similar upgrade on a different system. Also, Best Electronics sells a great upgraded cable for Atari systems, but it should work for the Oddysey as well.
If you don't care about upgrading and just want it to work, the cable Byron suggested will work. Just split the yellow one off and use it. Then you'll be left with a set of stereo cables.