Alex, not the best picture to give an example of but in the link below you can see a lot of the thicker wires ending in yellow connectors.

http://i31.photobucket.com/albums/c367/ayrshirerobotics/Drumroll%20-%20Build/dr_build97.jpghttp://i31.photobucket.com/albums/c3...0-%20Build/dr_ build97.jpg

The connectors are circular metal and have a hole in them, so in effect they are like a washer that has a wire coming off it. They then get put on the bolt and tightened/fixed in place with nuts. As Gary said, its best to fix the bolt to a piece of plastic or similar but I ran out of time to do this so I just covered my bolts in insulation tape as you can probably see from the picture, but I had 4+ wires attached to one bolt, and like Gary and Shane have never had them fail me.