It also depends on the gauge. I got a couple sets of these jumpers:
http://store.fungizmos.com/index.php?main_page=product_info&cPath=69&products_id=208
They're stranded core inside, which makes them much more flexible than that solid core stuff that everyone buys in spools. But then they've gone ahead and soldered solid core tips, much like retrolefty's suggestion. The solder point is wrapped in rubber, like a heatshrink tubing. The ends aren't square posts, but they are large enough gauge that they haven't slipped out of the female header holes for me.