I know what you mean about locking in place, they are a bit fiddly usually pressing down on the little finger after the terminal has been inserted fully will lock them in place.
I don't really understand why the manufacturers of FC's now use these tiny fiddly connectors. All about squeezing the most onto a 32x32mm board but hey guys! what about quality, reliability, safety. we put these things high in the sky !!! (it's OK, off my soapbox now )
Back to leads, my method is cut the connectors off parts like GPS's and splice the wires, after tailoring to best length, to the connector/wires that came with the FC. 1.2mm 2:1 heatshrink sleeve makes it all look nice and neat.
Hope you get it sorted