When I'm using the .025 square posts and matching female headers, I just cut the female ones on the bandsaw. You will lose one contact in the process, the price of using that style connectors.
I normally use Machine Pin Headers.
Search eBay for machine pin headers for the male pins and machine pin socket headers for the female pins. When you use these, I solder the wire to the male ones on the thinner side pin, the thicker pin fits the female socket nice and tight for a good connection.
