You can find 2 common varieties of Kelvin clips for milliohm measurements, one with a separate guard clip and one without it. DMM kelvin's maybe different for that used by a high end LCR meter. it depends on the units, which produces a different voltage on the guard to reduce parasitic LC.
If your DMM does not have a guard terminal, you can just build the non-guard version. To make the Agilent style clip you take your coax cable and solder a connection to all the cable shields then connect it to a single alligator, this is the guard lead. For the non guarded version, you needn't connect it.
The most costly part of the 4 wire setup are the clips; if you use ordinary alligators or mini-clips, they may not provide consistently low resistance to reduce errors when measuring precision to milliohms, which is what you want the 4 wire for anyway. Good kelvin clips are gold plated and run about $20-30 each. There are a few silver plated versions for a little less money, but don't know if they are as good as gold. 'Brand name' kelvin leads cost about $150-200. There are no-name Chinese brands for $20 complete, just check them to insure they really work, particularly if its really gold plated, not paint



The guard terminal reduces the common mode voltage to the DMM inputs; however since modern DMMs have very high CMRR, EMI or noise pickup maybe far below the stated milliohm resolution of the DMM's to make it practically unneeded. For example if the CMRR is -100dB, then it will only start to be a problem if you can resolve 0.01 milliohm.
The guard clip is mostly connected to low, or ground, whichever reduces noise and creates a stable value. In some old series Agilent DMMs, the guard terminal has a switch on the meter than shifts it between low and ground.