If the embedded target does not provide a matching debug connector (e.g. has a different pinout as the BlueBox debug adapter), it is not recommended to use wires or any other material (example 1, example 2, example 3 - note that these are examples of not working systems).
Use a pinout converter:
If a debug connector is not populated and debug pins are available only on test points, then using wires is the only option. However, it is important to ensure 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, etc.