Each of the modules has a header by which to connect it to the PIC. Connect the headers to the Arduino instead using the schematics that you linked to for a guide.
Connect Mega ground to the PIC board ground. Connect module SDA to pin 20 of the Mega, connect module SCL to Mega pin 21. Keep the wires between the module and the Mega as short as possible. The 10K internal pullup resistors on the Mega I2C pins may be sufficient, but if there is trouble with communication, try adding a 4.7K from SDA to Vcc and SCL to Vcc to strengthen the pullup.