Why do I have to solder header pins?
Think about it mechanically - you have a straight row of pins and you insert them in slightly loose fitting holes (all in a line). Even if you hold them in place - can you be sure that one of the pins isn't fractionally bent in one direction different to the others. Think about this for a 3 pin header: -



Clearly the pin in the middle isn't touching the inside of the yellow hole until you put unreasonable amount of pressure on the connector. Please, no complaints about the colours.