It is a good idea to tape or shrink wrap the connections together. It is cheap insurance.

If you are doing a lot of extensions, you will save a ton of cash by simply buying a spool of servo wire, cutting the servo lead in the middle, and splicing in the additional that you need. This way, you will have a near fail proof connection at a far lower price (most shops charge full retail price for servo extensions, since these small items are where they make the most margin).