I found the clip in the Digi-Key catalog. It's about twice the money of the adapter.

Are you saying that I would just build my circuit with the SMD PIC in place then clamp this on and program that way?

I would solder the ribbon cable from each pin on the clip to the corresponding pins on a DIP socket, no other parts required?

What if I have not so great solder connections on my board and the clip doesn't fit well? Odds are they are not going to be fantastic joints with a tiny amount of solder. I don't have the proper equipment to make such a nice joint on something so small.

Bart