You might get a connection similar to wire-wrap, if the pin has a sharp edge somewhere. Sand/ file/ scrape both the wire and pin to expose shiny bare metal. Wrap as many times as you can fit on the pin. Then you need to prevent flexing and loosening. Hot-melt glue could be good for this. Tape is unreliable.
Can you obtain (or make) a lug that fits the pin snugly? Can you solder (or crimp) the cable to the lug?
If soldering is not possible then there is conductive liquid or epoxy. Slightly expensive but I found it to be the only satisfactory method to do certain jobs.
As suggested in #3, crimping is the method of choice under such cases followed by a generous helping of insulating vinyl tape; you can try the common brass-tin plated ferrules for this.