There are basically four popular ways to go when wishing to build external components using an Arduino.
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Design and build your own custom made PCB.
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Buy a commercial shield that performs the function you want.
Example: Breadboard - Classic - PRT-00112 - SparkFun Electronics -
Buy a protoshield and add your component design to it.
Example: http://www.sparkfun.com/commerce/product_info.php?products_id=7914 -
Use a commercial solderless breadboard and build your external components on it. Example: Breadboard - Classic - PRT-00112 - SparkFun Electronics
I tend to use 3 and 4. #4 to test out a circuit and then move it to #3 if I want a permanent module from the design.
Lefty