At some point in life, you will want to connect wires to your Raspberry Pi's GPIO. You have a few options:
A) Make a tiny loop with your wire and hang it over the GPIO pin you want, and simultaneously hope that it doesn't become loose and destroy your RPi.
B) Use those female-to-male/female jumper cables typically found on amazon for 10+ cents a piece. Usually these are too loose for the pins on the RPi.
C) Find an old floppy disk ribbon cable (cheap but ugly) or get a GPIO ribbon cable from ebay (expensive but nice).
D) Print your own female-to-female GPIO connector (cheap and nice).