Actually, Boomie, screwing them in isn't so hot either! Usually people use long wood screws that strip out and make the whole operation a pain. This is why I'm slowly changing my basses over to threaded inserts to mount pickups. I really don't get why bass makers don't use threaded inserts for screws that get a lot of use (pickups, cavity covers etc.).
You need to check out the Chunger SX threads as there was a big discussion there about dealing with pickup quick changes. The bottom line (as someone mentioned here) are quick-connect wire pins. The cheap ones (like in your computer) are called "Molex pins" I have a kit Les Paul that came with those and they've been working just fine. And there are various brands in different sizes including ones that just crimp on. Best are the small diameter ones so they can be poked through the wire holes etc. If the connectors are too large you can't stuff them down the drill holes so what's the point?
You should note, however that connectors are NOT as reliable long-term as (properly) soldered joints! Of course if your solder joints blow then crimped-on connectors actually may be MORE reliable!