I don't have a tutorial, but its common sense. Here is a img of the pic pinouts, and google an image of pickit 3 pinouts, then wire them to some header pins which connect to a dip socket.
so you will have to make a different one for 8pin, 16pin ect.
this is what I got, 3mins to build (I wasn't going to waste my loved 8pin sockets was I)
I belive this is the best way, only 2 jumper wires to be soldered to the board. Scratch on left hand side of ic headers, lines up with the arrow on the pic kit.