I am upgrading my machine with a Gigabyte GA-MA770-UD3.

It's got a 24 pin power connector which goes on the mobo fine.
But instead of of the other 4-in connector (black and yellow wires) connecting into a 4pin receiver slot, there are 8 slots. I've put the 4pins into half the receiver slot.

Do power supplies come with 8-pin connectors in addition to the 24-pin?
I hope this makes sense.

Thoughts?

You are talking about the Aux CPU power connector right? Yes most modern power supplies come with an 8pin connector. Usually an 8/4pin where it splits apart so it can be used on a board that only has a 4pin socket. This is not to be confused with the 6pin and 8pin PCIe x16 connectors, but they are usually labeled as such, so not much to worry about.

Whether you need the 8pin or not depends on your CPU. If you have a high wattage CPU (125w) then it will need it. But if you are using the same CPU but just in a new board and your old board only had a 4pin connector then you won't need it.

If you do need it there should be adapters out there to use a 4pin molex connector. But if your PSU does not have an 8pin and you need one then you need to think about whether it may be time for a new PSU anyway. Maybe, maybe not. It depends.