Better way for connecting to Arduino pins to a sensor than jumper cable
Remember the Arduino is a prototyping system and it should be easy to plug, unplug and move around connectors.
If you want a permanent solution, you should make your own PCB and you will have a huge choice of connectors suited for all imaginable purposes (for example the JST family of connectors).
There are some connectivity systems like the Grove connector that have attempted to standardize connectivity on Arduino and related platforms.