Custom designed PCB
Using EasyEDA I designed the header PCB to fit on top of the Arduino Mega 2560.
Using it is totally optional, although I recommend using it for easier connecting the cables to the Arduino.
You can find it in the repository as a gerber files bundle in zip format.
I ordered mine from here and it took about a few days and was kinda really cheap. Although I needed to order 5 pieces it was about 7,50 € including shipping to Germany.