You can minimize lead capacitance through proper grounding. Warntjes recommends that you connect as many ground leads as possible to your target system. Try to use one ground lead per signal and connect to ground as close as possible to the corresponding signal leads. Most logic analyzers also let you assign meaningful names to each signal and each bus. You can easily spend more time tracing leads over and over again than you'd spend assigning helpful names such as INT-3 or OUT5 to traces when you first set up your instrument.
Engineers have different philosophies about connecting signals.
Which approach you should take often changes as a design project moves toward completion. If you have a mature design that has only one specific problem, you might start by connecting only those signals you think you'll need to view to solve the problem. As a rule of thumb, use only 12 to 14 signals in a given 16-bit probe. You can add more signals without rebuilding the entire setup, and you'll save time by not connecting unnecessary signals. If your design is new or unproven, however, then consider connecting many of the address bus, data bus, and control lines right at the start.