The Break Away Female Headers - Swiss Machine Pin have very high quality round pins to accept and retain machine pin headers much better. Can be cut to size with a pair of wire-cutters. Standard .1" spacing. They are used the extensively in the Olimex development boards. They mate very well with break away headers.
If you are looking for female headers with lots of grip, this is the product for you. However, you do have to be careful that you don't bend your jumper wire's pins when coaxing them in or out of the headers. Remember I said lots of grip. As always, Roboshop delivered them quick.