You did not tell us if that is an once only connection or a repeatedly connect/ disconnect application.
There are hundreds of ways to connect wire, with thin gauge, for a permanent connection you could use crimp connectors. If its for a terminal block, choose one that does NOT have a screw directly clamping onto the wire - it will only guillotine the thin wire. Use a connector which has a clamping plate squeezing the wire.
If the connector's hole is too big, double over your 22 G wire for a more secure clamping or crimping.
If the above info is not what you you were looking for you need to be more specific what exactly you want to connect.
Klaus