I like replacing the square male header pins with Swiss machine pins. Round, and with a smaller diameter than their square cousins, they're much easier to work with on breadboards.
If whatever you're working with doesn't have the square male header pins installed, it's quite easy; just solder in the machine pin headers and you're good to go.
If you're not that lucky and there's already headers soldered on, then they have to come off. It's not terribly hard, and there's all kinds of different ways to do it. If you take a look in the Share tips you have come across thread you'll find some good methods.
My Q&D method is to heat up the end of a hobby knife in a butane burner and slice the plastic between each pin. Then you can remove each pin one at a time with a soldering iron and a pair of needlenose pliers. A bit of solder wick to take up the leftover solder in the holes, a quick wipe with some IPA on a q-tip to clean the inevitable leftover flux, and the board's ready for the new headers.