How to connect sensors, xbee modules and xbee shield to an Arduino board?

I plug and unplug mine all the time. After a while, the sockets loosen up enough so that it doesn't take as much force to get it out. Be careful of bending pins on the XBee though, it's really easy for it to let go on one end as you pull it out, bending the pins on the other end. Don't worry too much though if you do bend them, they don't break too easily. Just don't make a habit of it.