I tried your technique simon, and it worked out well.
At first I just put heatshrink on solid 22ga wire ends. But that felt kinda cheap, the nice thing about premium wires is they are flexible don't get all bent out of shape.
So I tried 22ga stranded for the wire. The pins are just the core from 22ga solid wire. Stripped the stranded wire about 1/2", then wrapped that around the solid pin, soldered, and shrink wrapped w/ about 1/2" of shrink wrap. I'd probably rather have 24ga stranded wire so it's more flexible.
Nice cheap solution, I'm not sure how fast one could crank these out though. I'll post a photo later.