Usually I, like you, snap them off sacrificing one 'hole', then shaving it clean with a craft knife - pretty much exactly as you described.
Some female headers however, can be snapped neatly with fine pliers, like these:
https://www.toby.co.uk/content/catalogue/products.aspx?series=SLW-1xx-01-x-xThese days, very few female header strips have the scored breakaway parts. And it is annoying, but given the price of these, and the fact they are often available in any number. I really don't care.
I buy my standard/generic headers from rapidonline in the UK, if that's out, a much wider range for very reasonable price is Toby Electronics (link above eh). I've ordered everything from a *single* strip of low profile header for about £2 to hundreds of wire-board or board-board connectors, and they are awesome. I had quite a (geeky) chat with a guy about what connectors to use for a recent smart watch project. Highly recommended.
Edit: Buck converter shows turned pin headers. These are available that will take the standard square pins, but tend to be much more expensive that the one shown. Those turned pin headers are
ideal for educational or evaluation boards where one needs to plug in bare wires for a breadboard. And they also snap perfectly at the gap between sockets.