How do you guys go about making solid connections on a Mega board without soldering? I found this, http://ruggedcircuits.com/html/quick_shield.html - but that doesn't do anything for the 28 digital pins... Would be nice if there was a terminal shield for at least half of those pins 
You can solder two rows of pin headers to a prototyping board and make your solder connections on that board. That will make it a sort of plug that you can easily remove or cheaply replace.
Use these
& these
female-female, female-male, male-male available.
Use males to plug into femake headers on the boards.
They stay in place very well.
Ah, thanks CR. I was hoping there was a nice screw terminal shield for the whole board.
Oh.
Well, there might be.
Look around, may be available already for mega.
My very first post,
I use a Freetronics Terminal Shield for any connections - Terminal Shield for Arduino | Freetronics
Thanks, PDUNZ, but that product is geared towards the Uno board I have the same thing but in the wing style shield. They work on the Mega, but only for some of the pins. I am going to make my own terminal shield.
Megashields exist already. Seems like what is really needed is screw terminals with 0.1" pitch and long thru hole leads to mate the with female headers.
Search digikey for "Phoenix wire to board", filter for 0.1" pitch, then review the drawings.
I'm pretty sure long lead parts don't exist tho from the pictures that come up.
For the double-row section of the mega, how would you arrange the wiring?
You can also go to the Phoenix website. Its German, and they have an English translation button
I would think a double level part with pins that come down with 0.1" spacing "front to back" if you will would be handy.
Don't know if that exists. Or if double level for 0.1" pitch even exists.