zbends are the one most solid connection you could ever use,i would trust those over any solder or threaded connection any day.plus they are free and easy to make
Right up to the point where metal fatege stress cracks, made worse by vibration.....
Actually, I agree that Z bens work very well. You don't want to bend hardend wire, obviously, but other than that, it's fine. Oh, and on some servo horns, I'd worry about how much material is still around the "hole" after it's enlarged to take a 4-40 sized rod. I'm sure there you can find plenty of arms that are more than strong enough though.
I just personally don't like using Z bends, so I don't. To each his own. [8D]