The female headers are difficult to cut off cleanly. I've never gotten a perfect cut on one. I usually use an Exacto or utility knife to score them and then snap them off. Then I sometimes use 'liquid' electrical tape to patch up any exposed pin parts. It works ok, but you have to wait while it dries and then sometimes add a little more. I haven't tried a hobby or Exacto fine tooth saw, but that might be better than my method.
For female headers, I have recently been trying to just buy them in the correct length I need. Digikey has them and I've seen some assortments kits on ebay (probably Amazon or other places as well) that are not too pricey. If I only needed a few different sizes I would probably just get them all at Digikey. I try to wait and get several items to order all at one time from Digikey to even out shipping costs.
You have described exactly the way I do the male pins, just solder the wire to the short pins. Then a little heat shrink tubing can be used to help prevent shorting things. I don't always use the heat shrink, but it will give you a much nicer looking end result.
