I've always soldered mine, but I don't mind getting the soldering iron out so it's no bother for me.
I've seen some people use 4mm tubes and bullets in the past (just make sure you use heatshrink around the outside of them as insulation). I've also just noticed that Hobbyking do connectors designed for the job as well:
http://www.hobbyking.com/hobbyking/s...airs_bag_.html
http://www.hobbyking.com/hobbyking/s...le_1_set_.html
http://www.hobbyking.com/hobbyking/s...le_2_set_.html