Or should I just go to an electronics store to buy a cable with RJ12/R jack pair?
One thing about the NXT connectors is that the locking plastic is not in the
standard place, it is offset. I noticed that after I purchased some NXT sets
not long after they came out.
The connectors you buy should have the exact same offset otherwise they won't
fit in the socket. I'm not sure as to the pinout but a multimeter will soon
tell you which wire connection is which.