So, When my pressure sensor chip arrives, should i solder the 5 header pins onto it, or should I just directly solder the wires into to prototype board when wiring up?
I have been on a hunt for the perfect prototype board. I got the one you bought (along with the mini breadboard, that I currently use). The board has one 'feature' that you should be aware of, and that is it only has one row of pins to connect to the Arduino. You need to solder either male pins or the included female header pins to make connection with the Arduino. If you are worried about the height of the board, you can find male pins that have a hole to connect the wires to. For example, I got this item (which is currently out of stock) from the Canadian supplier dipmicro: http://www.dipmicro.com/store/HDR40X1FM
You could solder in male connectors, and then use a female cable that you solder on to it make a connection. I don't recall if normal male pins would give you sufficient height, or if you need the longer pins.
But unless you want to buy more hardware, I would say, solder in the header pins, and then glue (or solder) the wire from the board to the appropriate socket. If you don't glue or solder the wire to the header pin, I know from personal experience, that it will come out if you move the unit around.
Most of the other prototype boards I've looked at have two rows of pins, so that you could have one row that connects to the Arduino using male pins, and the other row for the connections. Another thing that I don't like about that prototype board is it hold has 10-12 rows that are connected breadboard style, and for the other connections, you need to make a solder bridge.
For example, this board has two rows of pins, and it has more breadboard style connected rows. However, they don't include the appropriate header pins so that you can stack the shield on to another shield (they sell the appropriate pins, but they didn't include the pins when I ordered it). Another problem with my board is that there are no markings on the top of the shield as to which pins are connected. I believe they said when they order more boards, they will have stencling on the top to indicate the connections: http://www.aztecmcu.com/catalog/i125.html
I found this Spanish prototype shield that seems to be better designed, but I haven't seen it in person: http://www.ebay.com/itm/150979294406?ssPageName=STRK:MESINDXX:IT&_trksid=p3984.m1436.l2649
This UK shield seems to have a bunch of paired holes, unlike the normal breadboard design that has 5 or so paired connections in a row: http://www.ebay.com/itm/Arduino-Prototype-Shield-UNO-R3-prototyping-/190694443142?pt=UK_BOI_Electrical_Components_Supplies_ET&hash=item2c66464886.
If you were attaching the board to an Arduino as a shield, I recently bought an Adafruit perma-proto shield (I bought the Altoids tin version along with a blank tin). They come in different sizes, depending on what you are wanting to do: https://www.adafruit.com/index.php?main_page=adasearch&q=perma-proto.