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An alternative is to use narrow gauge copper or brass tubing as available from model making suppliers. Choose a size into which the wire fits comfortably. Cut a short length by rolling it on a flat surface under the blade of a craft knife to score it and then snap it off. Insert one wire into each end and crush the tube onto each wire with a pair of fine-nosed pliers or blunt wire cutters (but if you use wire cutters, take care not to cut into the tubing).