I share your pain. I have been looking through the Digikey catalog at board edge wire connectors -- like the units Digitrax uses on their TSMK adapter. My local electronics shop just carries ones for larger wires -- too big to use with the little magnet wires from my signals. And I am NOT soldering this stuff...
My plan, when I pick out the right connectors, is to solder these to a little PC board with a corresponding one for the cable to the signal controller -- in my case SIGM20s. I also tried punching them into ethernet sockets but the wires are too small.
Another one of those annoying areas where I am surprised that there are no OTS commercial solutions but that everyone is forced to roll their own.