You can get header sockets, PCB mount that are 'snappable' (like the pin header counterparts) to any length, including individual sockets. Pretty cheap, I got 5x 36 for $1 off ebay. It'll still require the heatshrink thing but they're not crimp connectors, so the soldering is easy...just strip some ribbon cable, put the heatshrink on...solder to the 36-way strip, then split the ribbon cable up.
I don't own the stk500, so I'm not completely sure what you mean..but from the other posts looks like you simply mean individual female-female jumpers....a good reason to 'clone' headers on dev boards with PCB mount sockets, so you can use standard breadboarding jumpers.
One thing...might sound like more hassle, but I have knocked up a couple of breakout boards, on stripboard, with a 2x5 socket, and a DIL socket for wires. Took all but 3 minutes, plug it on the header, and you've got 10 sockets for wires. Hardly a professional approach, but it works, and if you're stuck, they come in very handy. Same with pin IDC pin header to DIP..so you can plug in IDC cables to your breadboard.
Hope this helps...I swear, 90% of what I build is for prototyping...and I still can't think of anything to prototype >.<
Blueteeth