I like Z-bends, but they work only with plastic servo horns, especially the full round disc types. With some cross or star type servo horns, squeezing the Z-bend through the hole can split the plastic. I've had that happened to me many times - gets awfully frustrating - especially since I bought a Z-bend plier that crimps real nice and sharp 90deg bends. On the one hand, you have to keep the hole just big enough to slip the rod through, but if the fit is too tight it will invariably crack the plastic trying to get pass a 90deg bend.

BTW, soldering music wires works just fine, if you first sand it down to bright metal. That gets rid of any oxidation and oils that were on the surface.