Soldering Header Pins Together to Multiplex Single Digit 7-Segment Displays
When I mount up displays like this and it is for a single build type of assembly I use perf board that has plated through holes all over on a 0.1 inch grid. This allows the displays to be soldered in and kept nice and planar with each other. 

For wiring I simply use 30awg solid wire-wrap style wire that has kynar type insulation. This is easy to solder directly to the display pins that protrude through the perf board. I would then also install an appropriate dual row pin header, most often a right angle type, to permit connecting a ribbon cable from the board that drives the display. The 30awg wire is also connected to the solder ends of the connector. 

The 30awg wires can be routed point to point or can be routed in a neat manner to make the assembly look more professional. When I route the wires in groups I find it convenient to tie the wire bundles through two perf board holes using nylon lacing string or dental floss.