If you mean individual sleeves like each wire on the PSU, that's something FrozenCPU does. I never understood that as sleeving is all about bundling IMO, but it can be done easily if given enough time and tools. To do these, they'll take off the main connector, sleeve each run with 1/8" sleeving long enough to reach into the PSU by about 1", slip 3/4" of 1/8" shrink on, put the connector back on, and then individually shrink each one-by-one. It's not the "good" shrink they use and in use the shrink and sleeve slips up the wire as you use it. Good shrink has this hot-glue stuff in it that melts and secures it to the wire and sleeving so it doesn't do this.
General sleeving and heatshrink is available all over the place. You'll want a $5 molex tool if you deal with Molex, S/ATA is taken apart pretty easily with something thin enough to lift the tabs while pulling the wire, and a little bic does well with heatshrink. NOTE: Colored heatshrink don't like Bic lighters as soot makes them black too easily.
If this is your first attempt, I'd plan a full weekend to this and just focus on routing and bundling. Don't try and just get the machine running, as you do this on a desk or test station. To go to the pretty side, a known running computer is ripped apart constantly just to get the fitting stage down and way before one length of sleeving has even been placed. It's all about clean routing before sleeving, so keep that in mind.
One thing I caution against and see it far to much in beginners trying to bundle wires of any type: It's not forever! Here's a simple example= Just the other night someone at work decided to clean up all the assorted wires for the screens, keyboard, power, mouse and all that ugly stuff. That's cool, but the mouse can move exactly 2" in any direction and the screens (that are on a common mount) don't move anywhere
...not even a 1/4" without unplugging power. This may fit that exact scenario for that person only, but adjustments MUST be made. Having clean wiring allows for adjustments as it's not about "as it sets" ideals. Always think ahead about "what if I change these two drives" or something like "what if I don't/will want two GPU's some day? Even a mouse not moving to me is impractical; because it isn't. A PC that can't be upgrading or changed without redoing it all is also impractical and shouldn't be done. Leave slack for future use that doesn't require re-work. THEN sleeve it if you want.
I'm looking at my early work that exemplifies this as I look at a 2002 build here on the garage floor collecting dust. It's an old Chieftec/Antec Soho bellybutton case that use to hold six 36G Raptors. I spent so much time making that thing fit exactly for that build that it still looks like it's ready for that old situation today. The trunk of Molex runs sit there with 5 heads just dangling out going to no-where as it just needs one drive and just basically looks like Medusa on a bad hair day. Don't kick yourself 10 years from now...think ahead