Pin headers Jeff...

Jeff,

I've just started using the pin headers for my signal wire connections, magnet wire connections into Digitrax TSMK's are just painful.  So I've made up plugs using 2 x 2 glued togehter, this also allows me to disconnect the signal masts & bridges from the layout too.

The only thing smaller than this that would work in a locomotive is the Soundtraxx - Mini Micro Connectors.  But I haven't been able to find these in stock for some time.

Jason...

crimpers

Getting the right crimper is really important.  If its a universal crimper, its the wrong one.  Be prepared for sticker shock!

Pin headers as well

Not really satisfied and still looking. I do add shrink tubing over each and then a larger one to capture them all. 
 

Side by side is interesting. I have not seen that before except for an 8 pin NMRA DCC connector. 

spring contacts

In a pair of Proto GP30s, I wanted four connections between the shell and chassis.  I made a square of plastic to sit on top of the weight and in each corner was a Kadee coupler spring with a magnet wire soldered to it.  In the shell, I made four brass pads with wires to the lights, one each for headlight, rear light, ditchlights and a common +.  It has worked well for about 18 years now.  If I open up the loco to do maintenance, I just make sure the springs aren't too bent out of shape before I put it all back together.  

Scale Trains has some contacts like that for their warning beacons.  They have tiny pogo pins instead of springs.

@ JeffShultz

Mostly i use plugs with a lead-wire spacing of 2.54mm. I made them out of this stuff (only as example, there are certainly retailers in the US which sell this stuff): https://www.reichelt.de/de/de/buchsenleiste-64-polig-einreihig-rm-2-54-gerade-spl-64-p19401.html?r=1

This sort of plugs can be used either a male or a female plug. You can shorten then as you need them. In some cases i use 1.27mm lead wire spacing. These are sold in fixed pin numbers and male and female are different. The plug connection between loco and tender onto the picture is one of these. Here it is a 7-pin connector. The female is fixed onto the the tender frame and the male is soldered to the wires out of the loco. And because it's brass here, loose plugs are thoroughly shrinked in tube.

I have tried connectors with 1mm lead-wire spacing also, but they are too delicate.

The JST connectors are in real a kind of one way devices. Once plugged in, you will have your difficulties to disconnect them. A little trick will help here; take a sharp knive and carve these little snap-fits off. This will easen disconncting a bit and lowers the danger of pulling wires out of the crimpings.

Lutz