dannable:
Ditto what Liudr said. I just started to wire one up to see what happens when I realised that I can't easily get to the 5 volt connection on the Mega as the connection board is plugged into it.
Invest a few dollars on these female headers with long pins. You will be glad.
http://dipmicro.com/store/index.php?act=viewCat&catId=newItems