Adafruit motor shield problem

Hi! I am a beginner with the arduino and I got this Adafruit Motor Shield V2.0 . I also got a 12V 200x Stepper Motor from Adafruit.
I wanted to connect this stepper motor to this shield but apparently you need these blue things that you plug in, and then have the wires come inside. Do I need these in order for it to work? Is there another way to plug the stepper motor without them on the shield or the Arduino UNO itself?

attached is the picture of the shield and the blue stepper? I dont know how you call them

The blue things on the shield in your picture are screw terminals. Stick motor wires in them like this picture shows:

You loosen/tighten the screws from the top.

Other than that, it is a little difficult to tell what you are asking.