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