Could save some $$$ if this will likely be something you don't do often:
Header:
http://www.allelectronics.com/make-a...-HEADER/1.html
For the socket, just use a servo plug for 3 of the pins, and remove a single wire/connector from another servo connector and just slide it on the 4th pin. Or, if you have an old PC case laying around, scavenge the power/reset switch and hdd/power led wires/connectors and use those.