What are the options to properly wire an MFRC522 sensor to an Arduino board?
Yes, a better way would be to use 0.1" Headers commonly available at electronic hobby stores, distributors, or ebay. Look for jumper wire cable. The nice thing about these is they are so cheap, you can solder them, or use them for 0.1" headers. They are also strippable by hand so you can easily break away as many as needed for a project. 

They come in Male-Male, Male-Female and Female-Female types. Sometimes they can be had for a few dollars depending on the supplier. Another nice thing about jumper wire is most dev/eval boards come with 0.1" headers which means no soldering required and you can quickly change positions if you need to.



Another way to do this would be an IDC cable, the problem with IDC cables is they are great but the order of the wires is fixed,  which is not so great for prototyping if the wire order needs to be switched