This is a good option. The nice thing is that the test points are standardized across all the modern Nano board models, so you can use the same jig for debugging and programming other boards as well.
You might take inspiration from this board I made:
The female headers are a simple and accessible way to hold the board, compared to the more mechanically complex clamps that we often see in test jigs. I used the double row headers to allow making connections to the board pins (I just made solder jumpers between each pair).
I used this convenient and reasonably priced SWD header breakout:
but you can also solder a 2x5 SMD 0.05" (1.27 mm) pitch header to a SOIC-14 or SOP-14 adapter board if that is more accessible to you.
I used the "crown" head pogo pins, as I felt they would provide the most reliable electrical connection in this application. I believe the ones I bought are 1 mm diameter. The important thing is to get a diameter that fits the holes in the proto board, hopefully fairly snugly to help with alignment.
In the first iteration of the board, I just soldered the pogo pins to the proto board. However, I found it was difficult to get them aligned, and that they were prone to bending and eventually breaking off. So I made the design you see in the picture where two layers of proto board are used to provide better alignment and mechanical support for the pogo pins. I used a male pin header at each corner as a standoff between the two boards. It might be a better idea to instead make the pogo pins part socketed, so that it can be replaced if needed without having to mess with the board as a whole. Even better would be to use something like this:
For a one off (restoring the bootloader on a Feather M0), I've soldered wires directly to the pads. It works, but it was not very elegant for anything more than "I only need this to work for five minutes". I've used Pogo pins on a Pico to bring the D+/D- USB pins out to a PCB and that worked fine.
These were the length I used with a machine pin socket on the PCB and a male machine pin header on the Pico:
And these are the ones I have for a future "machine pin header only" setup:
They're a little finicky to solder if you were overly generous with the via diameter. The smallest amount of CA you can possibly get (like a pin prick) on the top of the PCB will hold them in place while you solder the bottom. I won't be quite so generous on the diameter next time.
The smallest amount of CA you can possibly get (like a pin prick) on the top of the PCB will hold them in place while you solder the bottom. I won't be quite so generous on the diameter next time.