I'm installing my ProECM chip and I know I need to tap in to the wires between the ecu harness and the rest of the car. I am given these (crimp connectors?):
http://www.alexdominey.net/subaru/pictures/connectors.jpg

How do I hold the stripped wire in the connector? Do I have to crimp it with pliers or something?

yup through the round end and then the conector should just slide over the post (rectangular end) fitting tightly. I wouldn't crimp the rectangular end when you get it on (unless it is loose then just enough to make it tight) hope that helps.
Dan

Dont use those connectors, sodder everything!

I had issues, and I know of many other who have had issues with poor connections, causing erratic cooling fan operation.

Jay

Since you're messing with something critical like the ECU, perhaps you should wait and get some help from someone more experienced with wiring.

sodder everything!
In general i second that idea. However there are times when that is not always possible or is to difficult. If you do use those connectors make sure you buy a good crimping tool and not a cheapie from radio shack.

I've never really soldered anything so I'm wary of trying it. David at ProECM suggested some fixes as he's seen my problem before. In the meantime, I'm going to get new crimp connectors and redo all the connections. This is the crimp tool I'm using:
http://www.alexdominey.net/subaru/pictures/crimp.jpg
Is this the right tool for the job? You use one of those 3 things at the tip of the tool to crimp right? Do I only crimp each connector once? I crimped them all 2 times cause it didn't feel very solid after the first crimp.

David at ProECM suggested some fixes as he's seen my problem before.
May I ask what the problem is? That is a crimping tool but it is hard to tell from looking at what kind of job it does. You should feel a firm "crunch" when you crimp. I agree with mulder that perhaps you should seek some experienced help. For me the ECU and it's protection is critical. I avoid getting anywhere near it unless it is absolutely necessary. If I need a wire for particular install I use alternative locations and diode protect the circuit. I mean I think it's great that you are willing to learn new things but it seems that this is a heck of a place to start. I do hope it works out OK for you.