Connecting CAT5 robustly between portable Arduino and more portable sensors
Certainly go for RJ45 sockets.  Not only does it help protect the wire, but it gives you a really easy way of swapping the wire for different lengths should you want to.

You can't solder an RJ45 socket directly to a normal prototyping board. The pins aren't in the right pattern.  So, you could go for something like this



That can then either be soldered to wires or, since the pins are now in a normal 0.1" pitch, solder the whole module to a prototype board or shield.

Be sure you get a vanilla RJ45 socket, not a "MagJack", which contains extra Ethernet-specific electronics inside it.

If you do want to solder the wires directly to a PCB simply drill a couple of holes just in from one edge of the PCB, run the cable between them, and strap a cable tie around it.  Here's an example:



That PCB has specially shaped slots designed into it for the cable tie.

Also, for soldering, you want a good quality cable. A cheap one from eBay will most likely be made of aluminium with a thin plating (if you're lucky) of copper. A better quality one will be made entirely of copper. Aluminium cables don't solder well. Fine for crimping to an RJ45 plug, but rubbish for soldering.