I have a box of brass #2-56 screws for just that purpose. Nice and solderable.
You can wind the wires round the proto. ;)
AFACT you're generally using one proto at a time, to find out about the parts and the circuit. I do that too, but most of mine are for experiments.
I often have several handmade boxes in a setup--I'm using four of them today to try to measure the noise of my laser driver automatically. All those alligator clips tend to get shorted out or fall off when I move stuff.
Cheers
Phil Hobbs