How to Secure Thermocouple Leads

I am making a project that includes a thermocouple. This is my first time using a thermocouple.

I purchased Adafruit Universal Thermocouple Amplifier MAX31856 Breakout and on the product page it recommends Thermocouple Type-K Glass Braid Insulated Stainless Steel Tip . However, the very small leads at the end of the thermocouple wire seem too small to stay in the terminal. How do I go about solving this issue? I'm assuming soldering the leads to the terminal may not be the best but I'm not an expert.

Thanks for your help.

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