I know they connect to a Mega, but, what's the way to use them, if you also need access to other pins on the Mega.
Like is there any ribbon cable for them (If so which one) or how would it be the best way.
PS: Does it really need to be connected to all those pins or they use less actually.
Thanks a lot.
If your LCD made for a Mega, it is because it needs the pins that a Mega has.
It is common to have a shield made specifically for the purpose that goes between the LCD and Mega and which not only connects to the end rows but also to some of the usual pins on the sides. This shield may carry an SD card and have space for headers used for other purposes.
However, I have just seen that your LCD appears to have only 2x18 pins, which suggests it can be fitted direct to Mega, and/or a ribbon is not entirely dumb - if you can get or make one. You might also consider a proto shield between LCD and Mega that does all the other stuff and carries a 2x18 pass-through header for the
.
No, the shield in your OP only uses power pins and 20 GPIO pins for the TFT.
If you want to use the microSD it is another 4 SPI pins.
The whole idea behind shields is to give you correct wiring.
I suggest that you plug the shield into your Mega as Nature intended.
Yes, there are unused pins on the 18x2 but you would need to stack a sandwich layer shield to get at them. Just like in Mr Pyner's photo.
With the display shield you can use some right-angle header strip to access the regular Analog, PWM, Comms pins on the 8x1 headers. No need to add any extra layer unless you want to access every pin on the 18x2.
David.
Thanks a lot for the answer guys 
I haven't bought it yet, now taking a look at the Nextion LCD Screen and what the main differences are with the one I posted.
The one in your Original Post does not have Touch. It is cheap. The SD and screen work. Plenty of spare pins.
Nextion displays are more expensive. Are intelligent and use very few pins.
Probably easier to program but I have never seen a Nextion.
David.
Since you have not yet bought the display, you should consider getting one together with its appropriate shield.