You might want to consider a protoshield that has a small through hole prototyping area, and it fits securely in the Arduino pins. When you want to change projects, you can just remove the shield, and either desolder the components, or leave it for another time. The shield I own is http://arduino-direct.com/sunshop/index.php?l=product_detail&p=93
, but you probably should consider ordering something similar from within your country for faster shipping.
I don't yet own this shield, but I've thought about getting it from Adafruit. It has screw terminals so you can connect the wires to the Arduino without soldering if you have external components or haven't finished the design yet: http://www.adafruit.com/products/196
Here is a shield with just the screw terminals: http://ruggedcircuits.com/html/quick_shield.html
If you don't need the screw terminals, consider getting a prototype shield (if you live in the USA, check your local Radio Shack, they've started carrying Arduino and shields), and soldering the wires to the shield, and you can avoid having to order things and wait for delivery, particularly in this season when the delivery services are flooded with packages. For example, http://www.radioshack.com/product/index.jsp?productId=13297702
You could use hot glue or solder to connect the wires to the Arduino, but that is a somewhat drastic method if the plastic melts when you want to take the wires out.