arduino pins

I would like to know how to make the wires going into the arduino board a better fit,as mine seem to be a bit loose. Is there a header I can buy? I am concerned they will come out when the arduino is in use.

You can buy dupont connector housings and the male or female inserts (depending on which type of header is on your Arduino board to make your own custom cables. You probably need to buy the special crimp tool to make them but they're not too expensive. You can also buy ribbon cable with the bare dupont connectors already crimped to them, though they're not quite so common. The single pin dupont cables have a lot more wiggle to them and a lower force is required to pull them out than a multi-pin dupont connector.

You can also buy screw shields that connect screw terminal blocks to the headers on your Arduino board.

Presumably you have an Uno or a Mega? They were designed to have shields plugged into them. They were not designed to have masses of wires connected to them because that would cause exactly the problem you describe.

If you are building a circuit on breadboard or proto/strip board, a Nano or Pro Micro can be plugged into a breadboard, or soldered to strip board, or plugged into a socket soldered to a proto board.

Well, for serious projects, and unless there is a shield that is a perfect match to your requirements, a better approach is generally to use a Nano and a matching screw shield for that - or just use a breadboard because a Nano fits nicely on a breadboard, or double breadboard.

A single wire connector will not have the mechanical strength to stay in under all circumstances.

The trick is to use a strip of header pins and solder onto those.