Buy seperate connectors for wiring?

I am working on a project in which the wires going into the arduino ports sometimes let go and the connection is lost. My idea was to use connectors such as shown on this webpage [1]. The wires are quite long, so the ones shown on the webpage will not fulfill the job. Can I buy separate connectors that I solder on my wires, or should I buy the ones shown in [1] and just cut off the wires? For what it is worth, the wires that I am using have an outer diameter of 1 mm and isolation is 0.2 mm, leading to an inner diameter of the copper of 0.6 mm.

[1] http://store.arduino.cc/eu/index.php?main_page=product_info&cPath=6_32&products_id=221

I solder snipped-off LED legs onto the ends of the wires when it's very thin. I save them in a bag when I'm working with LEDs. Diode legs work well, too. Resistor legs tend to be softer wire.

You can solder the wire at a right angle to the LED leg and it makes it much stronger.

Why not buy pins that are intended to mate with the headers?

Slide them into crimp housings, the whole assembly then makes a solid connection with the header.
http://www.pololu.com/catalog/product/1903
1x1, x2m, x4, x6, x8, 2x2, 2x4, etc. whatever size you need are available.

Precrimped wires are available also.