The ideal way for multi-terminated wires is to run a full wire for each one - full length end to end. Run wires in parallel from source to beginning. But in order to save money, pin manufacturers didn't seem to follow this method and often daisy chained the connections.
Best method around this would be as tracelifter stated - one wire per contact, tie the wires together behind the connector and cover with heat shrink. Done carefully and neatly, this can look decent.

Two wires can fit into one contact (I have a pix floating around on Clay's website) - but it isn't pretty and would be an automatic reject of any QA inspector. It's only something I would do as a "let's try it" sort of connection.