The component you're looking for, Rappa, is called a 0.025" female crimp pin socket (Molex 16-02-0103); you can get them at Jameco under the part number #100765. You need a crimping tool, too, so what you might want to do to get started is order a complete kit; you can get one from Lynxmotion:
http://www.lynxmotion.com/Product.aspx?productID=85&CategoryID=104
I'm building a version of Arduino that uses post headers for TTL outputs, so these kinds of connectors are very common in my projects.
Just a quick tip: Those connectors are designed to be crimped by huge machines that are able to exert more pressure than you or I ever could, so if you want them to be bullet-proof, sweat a tiny amount of solder onto the connection before you cover it with heat-shrink; humans tend to tug on cables and nothing is more exasperating that pulling a cable and leaving your connector behind....