signal/sense connectors rated for 400-600V, a few milliamps
I've seen this done on CCFL LCD monitors/TVs, so it seems pretty good. They use it for the inverter leads for the backlight. What you basically have is a 4 pin connector. 



In this case the potential between conductors is about 1.44kV (for my particular 42" display.) So you could follow this example.

Now as you can see there is no return wire; that's because the shielding of the case is earthed. There must be sufficient isolation between the inverter lead and the case to avoid a short. The connector forms part of this shielding.

Also, note that on the PCB they only used a two pin connector. Probably because it was the smallest available, because isolation wouldn't be critical (there are holes in the PCB for this reason.)