If you're insistent on Tag-Connect, that's a pretty good way to go. Those legs are a big part of the problem and so the No-Leg version helps a lot. But then it also falls out of the board....
Seriously, I tried to like Tag-Connect. I did like it before supporting a CM and a hardware team trying to use it (and lose the cables...). Now I just plain don't think it adds value over the alternatives. The header is three cents. Three. Cents. The cable is $39 (with legs, $34 without). That buys you over 1,000 headers and then you can use the free cables that come in the box with all the debug probes and live in the pile over there in the shop.
You can get retaining clips to hold it on. While these can be a bit fiddly, I’ve found them good enough for bench testing with no legs tag connect
https://www.tag-connect.com/product/tc2030-retaining-clip-bo...
Bending the little pins also works (they will tend to bend themselves after a little while of use anyway), but at the cost of making insertion a little harder as well. I found that to be the best compromise for me, but YMMV.