Thanks for the ideas about the Raspberry Pi "GPIO adapters," as they seem to be called on Ali Express. Those particular models aren't too useful to me since they're 26- and 40-pin models with shrouded connectors, and thus not usable with my most common sizes of 50 and 34 pins. But it does remind me that I have some perfboard kicking around and, with a bit of cutting I can easily make up a similar breakout board that I would find much easier to solder than mucking about with bare wires.
And of course just sticking jumper wires in a female IDC connector is easiest of all, at least for small numbers of connections and where I'm not concerned about having to move the project.