There are screw shields available for the UNO, but not for the MEGA2560. I installed one of the former in my train layout and it's great.
Now I am deploying a MEGA2560 to control signals at the layout depending on turnout positions. I will use all 70 pins but two (Rx & Tx) and I've already figured out how to do it without a Screw Shield, but it won't be the same. 