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Trying to make a PnP adapter using one of our PCB breakout boards. What are the things to consider/tricks etc to make this better rather than worse?

The most common killer of wires is continued bending. The highest bending stress is where the copper leaves the insulation jacket. This is where ending will occur and where, eventually the wire will fail and break off. The way to deal with it is to eliminate bending at that point.
Crimped connectors achieve this by having two crimps- one on the actual wire and one on the insulation, making sure that no bending can occur.
For wires soldered to PCBs, it's a bit more tricky.
One way to help this is to have the wire weaved through one or two holes in the PCB, thus fixing the location of the insulation.
You could also use crimped ferrules with a plastic sleeve that locates the insulation. Lastly, if none of these is available, gobs of hot-glue around the wires will help fixing the insulation in place and avoiding bending.

Wow, today I've learned!

Speaking about wire itself, I am using six colors from https://www.shamrockcontrols.com/category-s/603.htm those melt around soldering point

Matt has different colors from https://www.waytekwire.com/item/WM20-6/WM20-6-Automotive-Cross-Link-Wire-/ those do not melt from soldering.