I've done this with a 12F629 also. I just used the adapter that you show (or similar) that I picked up at Digi-key for about $8 CDN and held it down with a pencil while programming. I did end up soldering it to the adapter so that I could set it up in a prototype board which made it easier to re-program (over and over again!). When I was done, I just de-soldered it and put it in to my final circuit.

Good Luck!