What is the best way to connect wires to Arduino?

I have been playing around with a 7-segment display unit which connects to the Arduino with 5 different wires. I am having a tough time keeping the wires inserted into the pin connectors. Is there some sort of connector thing I can terminate my wires with that will stay inserted into the pin holes?

if i understood your question, you are looking for these pin headers:

these headers can be cut into single headers, and you can solder your wire directly on a header. maybe fix it with heat shrink tube.

Yep, that is exactly it. Thanks!

a cheaper, but less professional, method is to snip 1/2 - 3/4 inch lengths off the leads to some of the resistors/leds/caps/ect you've probably got in your junk drawer... they always come with leads that are ridiculously long. just solder your wires to the ends of the cut lengths of heavier wire, and insulate with electrical tape.

works like a charm.

An alternative to component lead scraps is a chunk of solid telephone or ethernet cable (RJ11 or RJ45 style). It is inexpensive, solders well, and fits nicely into the wire connectors on the Arduino board. I've found it is a little thicker than most component leads, and thus less likely to bend. This works well for me when I'm playing around. Once I have a solid circuit, I usually move on to the jumpers mentioned previously for the finished product.