One vertex per element, one color per generator, with an edge from x to x·s.
(1,2,5,4)(3,7,8,6)(9,10)(11,15)(12,14)(13,16)(17,18,20,22)(19,21,23,24)(25,26,29,33)(27,31,28,36)(30,32,38,34)(35,39,37,40)(1,3,5,8)(2,6,4,7)(9,11,12,16)(10,13,14,15)(17,19)(18,21)(20,23)(22,24)(25,27,29,28)(26,31,33,36)(30,35,38,37)(32,39,34,40)(1,2,5,4)(3,6,8,7)(10,14)(13,15)(19,23)(21,24)(25,28,29,27)(26,31,33,36)(30,37,38,35)(32,39,34,40)(1,4,5,2)(3,6,8,7)(11,16)(13,15)(26,32)(30,38)(31,39)(33,34)(35,37)(36,40)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.