How should I connect this switch securely?
Why not crimp it?

Do you have a crimping tool? It can be done perfekly if you have one. Else, you could still do it with a pair of nose pliers.  


  

Advantage is that you can remove the connections later. 

Why not solder it 

You cannot remove the connections easily (desoldering will do). You can put in a sleeve into the cable, solder and then secure the solder joint with the sleeve and a hot air gun.       

Use the cables coloured in the same way as the RGB pins so that, you don't have to trace it during connection or for debugging.