DrAzzy:
If designing your own PCB, which you want to mount a pro mini on, there's another trick - make or find a library (or manually place rows of header - but this is error prone) with pins on the board you want to connect to. I usually don't place the 1x6 ftdi header, and just mill out a slot under it, and solder those pins on first).Then place the pro mini directly on the PCB, over the holes. Put a piece of pin header through on one side. Apply no-clean gel flux to the other side, and then solder each pad, holding the iron against the hole on the pro mini until it wets the corresponding hole on your board - you'll see the solder suddenly suck inwards when this happens.
Its a good idea.,Sadly I'm pretty embarrassed about even making this post because I actually had a good variety of female headers already, and somehow just forgot the proper name for them. But its good I did anyway, because now I see sources on ebay that are dirt cheap. Granted, none of them are as low profile as some of the 3M offerings on digi-key, but I was just happy to find connectors that were not the usual rip off price.
But back to your idea, I've thought of doing something similar. This time I was not quite ready for a PC layout, but did need to at least do a hand wired perf-board proof of concept. But you know, having worked with these NANO boards for several months now, I've come to learn the hard way how easily one can be electrically damaged. Granted, as a design idea evolves, those extra protective components we sometimes leave out in haste get added, hopefully before the first PCB is cut. But even then I'm thinking it pays to socket them, if only to be able to replace when fried by a spike from an unexpected source. It is, after all, the most sensitive item in most projects, and depending on the source might also be the cheapest to replace. And when a design inevitably evolves and a new board is cut, how much easier to move a NANO from a socket, then to attempt surgery with hot air.