Unless you just want to make them, you can get a set of 200amp connectors fairly cheap on amazon. Just seems like one of those things that are more trouble to make than buy for the price. But, sometimes I forget this is a machinists forum and most of us enjoy the challenge!
Definitely something to buy rather than make. If not for the time it will take then definitely the liability factor. You may not always own the welder so replacing parts like these with UL ( or whatever the equivalent standard is where you live) is something to consider.
Id stick with brass. Aluminum works but you will eventually have issues caused by the oxidation layer that forms to completely encapsulate the "connection/plug" which is an "Insulator" more so then it is a "Conductor" of electricity. You can deal with this by sanding or grinding the connection leads but that can be a big PITA and will eventually lead to needing a replacement once again.