Choosing Screw Terminals for connecting Arduino to other components
The part you show in your question doesn't fit Arduino's connectors directly. Also notice that the space between the Arduino board connectors is non-standard pitch, giving you a hard time trying to fit a normal protoboard on the Arduino.

I personally like these ScrewShields for use with Arduino. 



There are more variations, some are useful for the extended number of GPIO on MEGA,



Although I'm not sure how to route the attached wires at the inner row at the right end. There must be alternatives that circumvent this issue.

some have a prototyping area


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