How should I connect mains wires to those in my exterior light?
All connections should be made inside an enclosure with access to it. It could be even the fixture itself. You may use a connection box approved by your local electrical authority.
For connecting two or more wires use existing practice by electricians in your area. In North America we typically use wire nuts. Soldering is not the best practice if you are not experienced in that. Bad soldering may cause oxidation and loss of contact over time, especially outdoors. Other connecting methods require less qualification and effort.