If you're using breadboard, you probably mostly want male to male jumpers, since you'll be pushing things into the breadboard.
Yes, you always want to solder connections - for pin header, or really anything where you want a reliable connection to a board (and when do you want any other kind?)
Espruino is a JavaScript interpreter for low-power Microcontrollers. This site is both a support community for Espruino and a place to share what you are working on.
I use male pin header on the Espruino (and anything I connect it to) and female to female dupont jumpers
http://www.ebay.com/sch/i.html?_nkw=dupont+jumper
http://www.ebay.com/sch/i.html?_nkw=0.1%22+pin+header+40-pin
If you're using breadboard, you probably mostly want male to male jumpers, since you'll be pushing things into the breadboard.
Yes, you always want to solder connections - for pin header, or really anything where you want a reliable connection to a board (and when do you want any other kind?)