For absolute smallness, one of the companies that you would not expect to make connectors (It is Murata, Toko or one of their competitors) make soem that seem to be made out of sheet metal. They either solder on surface mount pads or go with coax that is 1 mm diameter or so.
As far as connectors that cost moe and perform better, the SMA SMB SMC series are very good and the MMC MMCX are smaller and slightly lower performance.
I think normal SMB connectors are good for up to 6 GHz. However, I'm not sure if you can get one with such a small footprint. Anyway, it's easier than SMA and still a very good connector type, if you want a reliable one. Better check the available options.