One vertex per element, one color per generator, with an edge from x to x·s.
(1,2,6,3)(4,5,8,7)(9,10)(11,15)(12,24)(13,18)(14,19)(16,26)(17,20)(21,37)(22,30)(23,32)(25,29)(27,34)(28,35)(31,36)(33,38)(39,40)(1,3,5,8,6,2,7,4)(9,11,20,36,14,22,13,23)(10,15,17,31,19,30,18,32)(12,25,28,21,27,39,26,38)(16,33,24,29,35,37,34,40)(9,12,14,27)(10,16,19,35)(11,21,22,38)(13,28,20,26)(15,29,30,40)(17,34,18,24)(23,39,36,25)(31,33,32,37)(1,4,5,3,6,8,7,2)(11,22)(15,30)(21,38)(23,36)(25,39)(29,40)(31,32)(33,37)A Cayley diagram is a choice, not a fact about the group. Another drawing of this group — in a book, or on a different generating set — may look nothing like this one.