does anyone know where I can purchase a tool and pins/sockets to make my own leads like the ones you can buy in bundles from e-bay that you use for breadboard connections to the arduino seen here. I have trawled the internet with no luck, I am not sure what you call them so that makes it harder.
You're looking for wire to board connectors There's a fairly wide selection available on most of the major suppliers such as http://uk.farnell.com/wire-to-board-connectors
Using the Farnell example, use the filters to identify the connector type you want i.e. six contacts, two rows, 2.54mm pitch spacing and "crimp" as the contact termination type gives you this result. Picking the cheapest one that's in stock gives you this. If you look at the bottom of that page the crimp terminal and matching board header are listed under "Associated Products"
The actual crimp tool is a different matter. The 'proper' manufacturer ones are usually several hundred pounds. However generic ones are available. I use the PA-09 model I got on eBay. http://www.ebay.co.uk/itm/universal-mini-micro-crimping-tool That link isn't the vendor I ordered from, just the first one that I found searching for "micro crimping tool", as you note, it's a bugger trying to search when you don't know what something is called 
I do a lot of work with Hirose DF-11 connectors so I also bought the proper £500 tool. To be honest it's slightly easier to use than the generic tool as it completes the crimp in one action rather than two with the generic one but there's not much in it.
Hope that helps.
thank you for your help, that is exactly what I was wanting.