You guys need to look into terminated wires & crimp connector housings at www.pololu.com.
You can get packages of pre-crimped wires, or just the termations and make your own.
http://www.pololu.com/catalog/category/73
http://www.pololu.com/catalog/product/1907
The make pins are designed to mate with the arduino Uno shield connectors, and also plug into breadboards.
The female pins will accept the male pins, and will also slide onto 0.025" square posts.
Soldering wires onto header pins should only be an act of desperation.