I tend to design things so I have LEDs for status on the pins that are used for ICSP CLK and DATA lines. This way I can also see that the ICSP is being programmed.
The MCLR lines are normally tied to +5 using a schottky diode with the MCLR from the ICSP to the Processor side of the diode. This prevents 12v from getting back to the 5v side.
Microchip has some ICSP app notes where they use a resistor for MCLR isolation, but it doesn't feel right to me to do it that way..
I also have a diode to isolate the +5v supply to the pic so it can be powered by the programmer, but the programmed doesn't power up the whole board. On a few designs where I know there is not much on the 5v rail I will normally just tied the ICSP 5V to the PIC 5v. I don't tend to have the board powered when programming other than through the ICSP port.
I use a PicKit2 for all my ICSP work and it can provide power to the circuit with control independant of the programming functions. A very handy feature.
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