I get why there are two three wire plugs... but what's the pair of wires coming out? Just for connecting higher current power supply?
Edit: On the WS2811, it's possible to separate the power supply for the LEDs from that for the control circuitry - that's probably what's being done here.
Reversing Dout and Din doesn't kill anything (it just won't work), so as long as you get the +5v / Gnd right, you can try both ends for data. But you do need to be damned sure which is +5 and which is ground, the WS2811/2812 (but not 2812B) are notorious for dying if you put reverse voltage on them.
Pin strips are wonderful - you'll also want the connectors for it. These are (at least by some vendors) called dupont connectors. I bought a whole set of 1~9 pin housings and hundreds of female pins, plus some pre-pinned dupont line (the stuff with no pin housings on it)... For more basic needs, these ( http://www.ebay.com/itm/40PCS-Dupont-wire-20cm-cable-Line-color-1p-1p-pin-connector-/260980054045?pt=LH_DefaultDomain_0&hash=item3cc39f981d ) for connecting pins to pins, or these ( http://www.ebay.com/itm/40PCS-Dupont-Wire-Color-Jumper-Cabl-2-54mm-1P-1P-Male-Female-20cm-/251178082666?pt=LH_DefaultDomain_0&hash=item3a7b61616a ) for working with breadboards (they end in a pin on one end, though you can barely see in the picture). That ebay seller's entire store is full of cheap wonders (his stuff usually makes it to the USA within 2 weeks or so, despite the much more pessimistic ship times given, not sure about the UK) - so I recommend looking through the other categories of items too... unless you're on a budget, that is - it's mighty easy to nickle-and-dime yourself to death there (I think i've given them close to $200 in the past month or so, just getting "Oh that looks cool, maybe I could use a such-and-such sensor for something, and it's so cheap" kinda purchases and they don't even sell the good LEDs!).
Breadboards, I would recommend using only if you're really desperate, after you've broken up your furniture for fuel, and there's nothing else to throw in the fireplace to keep warm... But seriously, they're unreliable as shit, avoid them if possible (particularly if they're not new - they age poorly). I used them for a while, and I was spending more time trying to track down problems that turned out to be loose connections than I was on any other part of the project. And just the other week I sat around for a demo for like 10 mins while my friend redid a bunch of soldering assuming he'd burned out a part, only to find that nope, everything was fine, the breadboard just wasn't making good contact....