The most important part of how/where/when for connecting a thermocouple is to measure the temperature as close as possible to the bimetalic joint.
From here feed that temperature into your uP and then you can use software to perform the CJC compensation and use the known polynomials (or simplified linearised equation for smaller ranges) for converting your ADC value into temperature.
In the past we have got a big chunk of aluminium and performed wire to wire terminations around it and installed a LM35 for temperature measurement. This was performed off the PCB.
Having said that you can freely do it with connections n stuff on the PCB as long as for are able to measure the temperature as close as possible to the bimetalic junction.
So to keep the distance as short as possible consider using screw terminals and mount the LM35 right near the screw terminals themselves for the most accurate reading. If you really want to use a connector try DB9 with the metal back shell - cheap as chips and being metal will conduct heat well for accurate measurement of the back shell temperature. Use male pins on the PCB.
I assumed you are using a uP and software, if not you can do the CJC in hardware but thats a bit trickier.
Hope this helps.