You will need:
Soldering Iron, I use 45 watt but this is more than enough
a vise is very useful to keep from burning yourself
and at least 21 pins of straight male breakaway header pins
I got the header pins from my local electronics parts shop. Radioshack doesn't carry them as far as I know, but they can be ordered from various places around the internet for very cheap. It was 2 dollars for 40 pins at my local shop.
Here is the digikey part, it's a bit more that 2 dollars. http://search.digikey.com/scripts/DkSearch/dksus.dll?Detail&name=A26513-40-ND
Same thing from Sparkfunhttp://www.sparkfun.com/commerce/product_info.php?products_id=116
These are straight male breakaway header pins.
You could theoretically use right angle as well, but I used straight pins.