In my lab I have some expensive cables that work great at Ka band, I have some cheap cables that would have 15 dB of loss at Ka band, and I some cheap cables that work ok up there (maybe 5 dB loss). What you should do is go thru your cheap cables, measure insertion loss, and use the one you find that works the best!
At some point in frequency the SMA connectors themselves will stop working, because the outer diameter will be too big and they start to multimode. If you see sudden spikes in insertion loss, that is probably the cause, and you will have to switch to cables with smaller connectors like 2.4mm, etc