When doing a quick test, I like to plug one leg of a standard led into the Arduino female. I have some 560 Ohm resistors soldered onto flex jumper wires at one end, and croc-clips on the other. This is so I can clip the croc onto the other LED leg, and plug the loose end of the resistor into another female. The croc-wire-resistor makes it easier to move between components and arduino pins.
Come to think of it a croc-resistor-croc might also be useful.