I was kind of frustrated with these itty bitty wires, too, and ended up doubling them over to crimp in a machined-barrel D-sub pin or socket, but jus the other day, I thought I saw standard-density D-sub connectors (pins and sockets) that were sized for smaller wires?
Not sure, but something like this:
http://www.mouser.com/ProductDetail/...nXbMIlBYT3s%3d
Maybe? It says 24-28 AWG wire?
I'm way past needing something like this, but curiousity got the better of me when I was surfing the net

I might be totally confused, though, and there's only one size of D-sub connectors, I dunno...