Having programmed the PICs, you will now need to connect them to the wires. I used the individual strands from some cable for this (about 30ga), and first tinned the PIC's leads, then soldered a wire to each pin. A pair of tweezers with a locking function is very useful for this, as you can hold the PIC securely while soldering.
Its also possible to program the PICs once they are soldered in this way.
You will need a prototyping board and some component leads for this step, wind the wire(s) round the component leads and connect to the correct leads on the programmer.