I wanted to experiment with a Microchip MRF24J40MB 802.15.4/ZigBee module, but having only one (and at $30 each) I wasn't willing to commit to soldering it into place just yet.
So came up with this idea: a makeshift temporary socket comprising pin headers and an elastic band!
Does it work? Almost. I found that a few pins weren't making electrical contact. Not one to give up easily, I stripped some stranded wire and wrapped individual strands around the pins. This extra bulk and roughness around the pins seemed to have done the job.
If you try this, double check all your contacts with a continuity checker. This is obviously not something you want to use in a production setting!
Update (17 Aug 2011): The MRF24J40 based modules from Microchip have come down in price significantly since this I wrote this blog post. In single quantities the MRF24J40MB is now about $15, and the MRF24J40MA about $10.