You can't use these with the Arduino board. The connectors on the Arduino board are female. At least you would need the male / male connectors they sell too.
I soldered some myself. I had some pin connectors that fit the Arduino boards female connectors. i soldered them to a piece of soft hookupwire, and put heatshrink tubong over the solder joint to prevent shorts when many wires are sitting close to each other. On the other end of the wire i put whatever connector i need for hooking soemthing up. Mostly another male pin connector that will fit in a breadboard. But you could use any connector.
It's a quite tedious job to do the soldering, but the benefit is that the wiers are cheap, and you can make them anay length and color you want.