I just use the same gauge wire as used for breadboard jumper wires (assuming you have the micro test clips?)
A better solution rather than soldering the wire directly, since handling will eventually cause the wire to break inside the clip, is to solder a pin from a 0.1" header and use a female socket on the end of the wire to connect to the clip.
Used that way to hook the IC pin is quite dangerous, it's easy to shorted with another pin, so I changed to using another wire insert to the related hole and using the clip to hook the wire.The cap (on the left in your pic) comes off and you solder a wire to the exposed contact.
See here for a better explanation:
http://ecee.colorado.edu/~mathys/ecen1400/labs/lab02/index.html
Scroll just past halfway down the page.
by Jake Hertz
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by Jake Hertz