I did exactly this....
So I ended up making my own connections, but with the pins on the Pi end pre bought.
I had a 20cm cable length with one of those little pin connectors on each side.
I chopped the end off, and reused it. The other end, I crimped myself with spade connectors of various sizes and then simply spliced/soldered them together and put a bit of insulating tape around it
Note, soldering is important, because they would just not hold themselves with tape alone
worked well for me
If I were to do it again, id definitely go for either crimping both ends myself, or a breakout board like you suggest. It would just be cleaner, and easier to trace the cabling once its all in there
I have joystick, 6 player buttons and 3 more for start/credit/select/exit, so the wiring got a bit tiresome at times!