If the embedded target does not provide a matching debug connector (e.g. has different pinout as BlueBox debug adapter), it is not recommended to use the wires or any other material (example 1, example 2, example 3 - note that these are examples of not working systems).
Use a pinout converter. Refer to Cross Table Converters/Debug Adapters/Active Probes to find a matching converter.
In case a debug connector is not populated and debug pins are available only on test points then the wires are the only option. However, you must assure that the length of the wires is as short as possible to minimize signal integrity issues.
This method is not suitable for connecting high speed trace signals, such as CoreSight parallel trace, Nexus, Aurora, HSSTP...
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