What do folks use to connect pins (like ribbon cable pins) to wires? I'm looking for individual pin connectors not just ribbon cable terminators. Part #s would be great if you have them. 
Why do you need to connect pins to wire?
Are you trying to make wires to plug between your arduino and a breadboard like these?
http://www.seeedstudio.com/depot/breadborad-jumper-wire-70pcs-pack-p-234.html
If so then just use a 22 gauge solid copper wire. No need for the pins. But if you want to attach a steel pin to a wire then just solder it to the wire and use heat shrink around the soldered area.
I've made lots of little one-off connectors with ribbon cable soldered to right angle male headers.
I have about a mile of 22guage solid copper telephone wire, and a set of those jumpers
tho I got mine at sparkfun, which was a serious rip off, got 10 for what 50 cents less? and they fall apart every time you plug them in, gah! If I had known ...
the ones at seeed studios and make magazine and probably others look to be much better quality, and most are selling 70-75 for the same price, all in all very handy
if your talking about wire to wire, you can just pigtail or inline splice them and solder with some tape or heat shrink tubing
if your talking about wire to pin headers, you can wrap and solder them, its a bit fidgety tho