If you don't mind waiting a bit for parts, I just noticed that my favorite store has pretty reasonable shipping rates to the UK and might be worth checking out for your next project:
http://www.taydaelectronics.com/
Shipping esitmate for a few 40 pin breakaway headers was only $1.03 (£0.66). It's still more than the headers themselves cost, but it's the cheapest shipping I've been able to find so far. Only down side is it can take a week or more to arrive sometimes, thought my last order made it to the US in 4 days.