Has anyone done this? Im thinking it shouldnt be too hard. Any problems that arose etc. ?

The problem is in obtaining a miniature isolating transformer with the correct band-pass. Radio Shack used to have one that was 'OK.'

After that, it is just using good construction techniques and good materials so that the noise levels are not increased.

You can actually build a single-channel XLR adapter in an in-line box.

Thanks Mike,
Can anyone provide a wiring diagram to suite this Beachtek XLR adapter?

There are some wiring diagrams for adapters (not beachtek style boxes) on this page:
http://www.rcrowley.com/CamAdapt.htm

I used the second diagram to solder a 1/8" plug onto the end of an existing XLR mic cabel for connecting an Azden SGM-1X to my GL2.
Works great for me.

Have fun.