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