user20463: Curently I am using these connectors for my prototype:
Ebay link
However, I need something more reliable so I can deliver the prototype to a user without to risk that the cables fall out of their pins.
Is there something else to use? I would like to avoid soldering.. :(

user4143: Unless you want to replace the headers with something else, which means soldering, then you will be soldering.
The options are:

Solder different connectors in the place of the existing headers
Remove the existing headers and solder wires directly in their place
Get a prototyping shield and solder wires in to that
Get a prototyping shield and solder different connectors to it.

Whatever you choose you will be soldering.
Don't be scared of soldering - it's the most basic thing you need to be able to do when you are working with electronics.

20463: <p>Curently I am using these connectors for my prototype:
<a href="http://www.ebay.com/itm/120pcs-10cm-2-54mm-1pin-Jumper-Wire-Dupont-Cable-for-Arduino-/381350806379?hash=item58ca47836b:g:V38AAOSwN81WEeMm" rel="nofollow">Ebay link</a></p>

<p>However, I need something more reliable so I can deliver the prototype to a user without to risk that the cables fall out of their pins.
Is there something else to use? I would like to avoid soldering.. :(</p>
 4143: <p>Unless you want to replace the headers with something else, which means soldering, then you will be soldering.</p>

<p>The options are:</p>

<ol>
<li>Solder different connectors in the place of the existing headers</li>
<li>Remove the existing headers and solder wires directly in their place</li>
<li>Get a prototyping shield and solder wires in to that</li>
<li>Get a prototyping shield and solder different connectors to it.</li>
</ol>

<p>Whatever you choose you will be soldering.</p>

<p>Don't be scared of soldering - it's the most basic thing you need to be able to do when you are working with electronics.</p>
