I guess the distinctions S, M, L are a little frustrating but they are accurate enough for the use they are being put to. The cable needle doesn't size the stitches only holds them for a few seconds while you work the cable. I like my cable needles to be a little smaller than the needle I'm knitting with, but they can be the same size or anything smaller as long as you can work from them. I think if the CN is too small compared to the knitting needle it is hard to work with it.
You can use most anything that has two ends so that you can both put the stitches on it and take them off. (Sometimes I work by slipping the stitches to the CN and then slipping them back to the left needle to knit them.) I think a tooth pick would work for fine yarn. I also use those old plastic picks they used to poke through brush rollers (for hair). Sometimes I use my tapestry needle. A regular dpn will work. Or a length of dowel the size or a little smaller than the needle you are knitting with. You only need about three sizes--something fine for the smaller needles, something medium sized for the middle range of needles and something big for the large needles.
I hope that is of some help.