Can I use some sort of wrapping for connecting a headerless board, e.g. a Lilypad or a MCU6050 - I mean wrapping a wire through the holes and making some sort of a knot? If yes are there any guidelines for this?
No, don't do that. I will not work. Use soldering. There is a technic called Wire wrapping using special needles, souldered to the boards, a special wire, AWG20 ro 30, and special wrapping tool, at rather low COSTs.
A knot isn't going to work.
For temporary connections you can use : https://www.amazon.com/RuiLing-Grabber-Analyzer-Testing-Accessories/dp/B07TLJTJWL/ref=sr_1_8?keywords=Logic+Analyzer+Test+Clips&qid=1582397402&sr=8-8
If you are going to stay in this hobby for long, learn to solder wires and circuit boards.
Paul
I have used those clips. They are rather poor. The grabbing end fall off very easily. If You sneeze they jump off.
They will not grab holes in a circuit board.
Buy headers and solder to the boards, and then the Arduino popular labb cables.
Got it, Thanks.
Garfielder:
Can I use some sort of wrapping for connecting a headerless board, e.g. a Lilypad or a MCU6050 - I mean wrapping a wire through the holes and making some sort of a knot? If yes are there any guidelines for this?
You can, but its not a 'knot' as such, you wrap the end of a wire that has the insulation removed around a pin, like the sort that are used for 0.1" pin headers. Easy enough.
There is also the type of thin insulated wire that you wrap round pins in the same way and then solder over it, the wire has a self fluxing insulation.
Standard practice in the 1980s and it still works today.