While I have seen and tried many methods of soldering header pins, this is the most basic, yet best way to solder them. Feel free to adapt, modify, or add to this method in any way. :)

Materials required:

Header pins
Breadboard (Tip: Do not use this a bread cutting board. Don't ask.)
Tinned soldering iron
Solder
Flux Pen (Optional, or use regular flux)
Helping hands/magnifying glass (Optional)
Patience (Not optional)

That's it, be prepared to have your mind blown in a very simplistic way.

Step 1: Set Up and Flux

Carefully dump the contents of what you want to solder onto a soft surface. Picking out the header pin from the pile, place them into the breadboard apart the width of your PCB. For my Arduino nano it was 3 slots, plus the middle gap. The next step is to flux the pins and the board, while this is completely optional I would recommend it.

Step 2: Solder

This is fairly self explanatory, but place the soldering iron on one side of the pin, and the solder on the other. once the pin has warmed up for a second or two, the solder will melt and wick around the pin and the board. If this is not happening there are several possible causes:

Tip not tinned properly
Tip is baked (A soldering iron should not be left on for long periods, a replacement is required)
The iron is not getting hot enough
Solder is not meant for electrical.

Step 3: Soldering the Pins on Reverse

This step is a bit tricky, but once one or two pins are soldered it becomes much easier. Not it will be different for every board, but you have to make sure your board is flat and lined up with the pins. Arduino nano boards have mini usb on the top, so when soldering the back you have to make sure it does not interfere. To do so pull the pins slightly out from the breadboard until the gap is bridged. See the photos for better explanation.

Step 4: Good Job!

Good job! You just soldered your first (Maybe) set of header pins. Will I have done this more than a few times, I am no where near a professional, in fact I am somewhat of an amateur. So If I can do it, so can you. It takes around 5 minutes, so go for it!

If you read this whole thing you deserve a gold star :)