The brittleness of the MgB2 wires prevents performing a cable architecture with very small bending radius, similar to NbTi Rutherford cables. Consequently, it is important to reduce the thickness of the superconducting materials in order to increase its bending strain limit. In this context, thin Ni sheathed MgB2 hollow wires, having wall thickness of the order of 20 mu m and length of the order of 100 m, have been produced by the Reactive Mg-Liquid Infiltration process (Mg-RLI). The latest hollow monofilament made by Mg-RLI shows very high transport properties, having an engineering critical current density at 4.2 K, 3 T of 730 A/mm(2). In this wire the small thickness of the MgB2 corona allows a twisting with pass of the order of a few cm and fulfils the thermal stability criterion for MgB2. We have demonstrated that cables made by such braided or twisted wires may be conveniently reinforced, by embedding the wires in a molten Mg bath, so that the Ni sheath is almost completely dissolved and the wires are clad by an eutectic Mg10% at Ni alloy. This alloyed matrix is structurally well connected to the MgB2 material, with minimal thermal and electrical resistance at the interface. A cable prototype based on this metallic composite has been prepared with 21 mono-core MgB2 wires, twisted around a central hole, which may be useful for cooling purposes. This cable design may be applied as current leads or in short bus-bars, for high current supply.