Hi all,
I've been reading the 'start here' a couple of times, and it suggests to get these male header pins, which you can then solder onto your board.
I've managed to find some at techsupplies.co.uk (since i'm in Denmark, i prefer EU shops).
BUT, what about the female version? I have not been able to find them anywhere. Is it not possible to buy some, and attach them to some cable yourself, rather than buying cable with them already on?
female header pins
Female header pins are available and can be soldered and shrink-wrapped onto a wire. However, it might be worth your while to buy pre-made female jumper wires… The female headers come in strips just like the male ones and would need to be cut appart into single (or more) units. The problem is that they don’t exactly snap apart like the male ones do --you will have to distroy at least one “socket” on the header strip to get the one that is next to it. I.e. if you want to have 3 “sockets” off of a strip of 10, you will end up with your 3-pack, 6 left on the strip and one distroyed in the process. Also, like the males, the females are designed for PCB use so the small amount of pin you have to solder to is well, small. --Should not be too tough, just see if you can get-on-in, solder and get-off-it sorta quick-like as to not melt the thin plastic. On the good side, these things are pretty cheap.
Another option is to buy bulk servo connectors. I bought tons of these for walter. There are just that - a servo connector, taken apart so you can solder your own wires. These are probably more handy than anything else as many, many things you run into will need +,- and signal (3 pins, 3 wires).
Electronics parts supplier in Denmark
You can try to see if these guys have what you are looking for.
I have never bought anything from the myself though.
pins
I ofcourse thought i could just press the connector onto the wire, like when making RJ45 cables 
Thank you for the answer Chris. I think i will start out by buying the start-kit at solarbotics, and a few extra parts to play with. I have one question to your post though. What exactly are servo connectors? I tried searching for it on solarbotics, with little luck. Is it just a 3 pin connector? Oh, and where do i get some? 
Yea i have looked around on their website abit. It looks decent, i will definitely check it out the next time.
Servo connectors
Servo connectors are the connectors usually found on servos. They are 3-pin (+,-,signal) and have a .1" standard spacing. They will fit over a row of 3 standard male pins on a standard PCB board. A lot of shops don’t carry them by themselves so a lot of guys just cut them off of old, dead servos.
