Definitely breadboard the circuit, narrow down the options to a few choices. Try those few in the socketed board... It's not something you'll gig with, if you're having problems with the sockets.
Once you find "The One" you like, then you just solder it into the socket.
There's a few other tricks to improving socket retention such as thickening the male side of things with a little extra solder dribbled on before insertion... or as simple as gaffer's tape (NOT duct-tape) or maybe painter's tape...
Rubber bands...