Newbie shield question, connecting sensors to shield.

Just a quick basic question. I got the data shield and soldered the male pins in place, cool. It stacks nicely on the Uno, I want to manipulate the sensor and other contact locations on the Arduino board like I was doing before but the pin holes are to loose for the wires to make good solid contact. How do I get a solid connection? Do I have to solder wires into the holes on the shield?

You should have used female headers in place of the males that are shipped with the product. After installing the female header and your design is complete you could have used a dremel and removed the top female pins. At this time it would probably be best to use a bread board and connect the data logger in a roundabout way. This may even give you a better understanding of the proper usage of the device. Good Luck!