Stainless steel nuts, bolts and washers seem to be the most effective metod of connecting the wires to the coils.
It seems to be better to use twisted tails to get through the walls, then use the nuts and bolts. The doubled wire for the tails is twisted together for the pass through the wall, so it doesn't produce much heat in the insulating brick. If you use a 1/4" bolt, it has a lot of cross-section relative to the coil and the resistive heating is minimal.
Bend the tail to a U-shape, or almost a circle, and clamp it between a pair of nuts and washers. Do not cross the wires as it seems this may cause a hotspot. If you use a long bolt (I use 6mm allthread), the coil connects at the hot end and you can use a low-temperature "normal" cable clamped in a similar way (I use crimp-on ring terminals) at the cold end. High-temp cable is added insurance and I use it if it is reasonably cheap. The 200 degC silicone stuff seems plenty good enough and is cheap, if slow, from ebay.
I stopped using the stainless allthread to go through the walls (as shown in Andy Gascoigne's plans) following an element failure on one of the HT ovens I'd built and a couple of similar element failures experienced by other guys on British Blades. The twisted tails seem to have fixed the problem.