Yes, anything that connects them will do. But if you're connecting to Vcc (166->133 mod) be VERY CAREFUL not to short anything. If you connect Vcc to the wrong pin you could kill your cpu. I don't like putting a wire in the socket because I'm worried that it might move around a bit when I put the cpu in.
I understand your thinking there bro....nothing quite says good morning like a good ole fried up country style crispy cpu chip.

I have done a similiar mod on an older board and I used a needle and super glue to hold the wire in place. Just added a drop to the needle and used the needle as my wee little paint brush to add a almost to small amount of glue to the wire once it was in the correct holes. Held gr8 and was easily removed with very small needle nosed pliers.