Here's the connector I was planning to use, unless I find something better:
It's quite high quality. Both ends are open. The side with the little hole is for the wire. The other side is meant to grab onto a metal post sticking out of a circuit board. It has phosphor-bronze metal fingers inside that actively clamp onto the post. It's a crimp termination for the wire, but I would probably solder it.
About to connect...
This is the point where the fingers inside just begin to grip. At this point, it will no longer fall off if you tip it upside down.
Here it is seated all the way down. At this point it is quite a strong bond, and will not come loose accidentally.
The connector is made by Mill-Max, and their part number is:
0368-0-33-01-13-27-10-0
I obtained them from Mouser. The Mouser part number is 575-036800
Here's the data sheet. It shows other connectors that might work as well.
http://www.mill-max.com/images/products/pdf/159N.pdfOf course I have no idea how this will stand up to repeated temperature cycles, but I expect it will be OK.