This is so amazing! I have been toying around with this idea since I was first introduced to wearable interfaced electronics. All of the supplies I already had, and if you don't, you can find them at almost any craft store.
My favorite way: Loop ended head pin with a handle: Taking a loop-ended head pin, bending the wire 90 degrees to the end loop, and fold it over about .5 cm up, This creates a little handle on it. Then clip off the end, so you have a bit of the wire that extends past the folded part about the length of a normal male header. It has great connection to the piece, and you can take it out of the board and move it easily.
Other ways that also work: Loop ended head pin, no handle: You can also simply bend it 90 and clip off the excess. Doing this makes it really hard to take just the pin out, making you have to have really good finger nails, or tear out the component too.
Flat top ear stud: The problem with this is that they top kept breaking off. It was also harder to remove than the one with the handle.
Round ear stud with loop: This was the original model. It works, but it doesn't make as secure of a connection to the component as any of the other ones. It is also kind of hard to get off the board.
Examples clockwise from top right (left hand pin in switch); round ear stud with loop, loop ended head pin with handle, loop ended head pin (no handle), flat-top ear stud.