JoeN:
I suggest these guys:http://www.taydaelectronics.com/40-pin-2-54-mm-single-row-female-pin-header.html
Put some crazy cheap MAX7219s and shift registers on your order as well!
Note that 40-pin female header strips don't snap apart like most male header strips. If you want smaller sections you will need to cut them with a saw. You will destroy a pin with each cut so you need to adjust for that wen calculating how many strips you need. For example, if you need 10-pin strips you can only get 3 of them from a 40-pin header.