Well normally at this stage of your project, you'd be more likely to use some breadboarding wire to stick into the servo's socket and then attach those wires to whatever is going to power the servo - which should not be the arduino - it can't provide sufficient current for more than one, if that.
Later you might wire it up using a male connector into the servo's socket so that it's easier to replace the servo from your robot if it is damaged, or solder it all together if you decide you don't need that luxury.
What should it be powered by then?