How can I attach sensors without a shield for a wearable project? I am looking for a solution regarding the gsr, accelerometer, heart rate, skin temperature. From this other question seems that Grove isn't clear enough with their documentation. So I am looking for other ideas. I already know cooking hacks and I am afraid that with their hardware I can't make my Arduino wearable and comfortable enough, because at the end I'd like to attach a lithium battery with a case (that's why I don't want the extra bulk of a shield).

More details of what I am looking for.

Accelerometer:
Range: +/- 1.0g
Minimum resolution: 0.01g

Galvanic Skin Response
Range: 56k Ohms to 20M Ohms 
Two-standard-deviation error of +/- 4.0% otherwise

Skin Temperature 
Range: 20.0°C to 40.0°C
Resolution: 0.05°C
Error: +/- 0.8°C
The accelerometer may be pretty easy (since it may not need to be in close contact with the person), but the GSR and skin temperature will need to be touching the person to work.

The first thing you will want to do is to identify the sensors that you want to use, and then come up with some ideas for how to make them wearable so that you can measure the parameters that you're looking for. Will you be able to attach them with straps, or does the attachment need to be more subtle or more comfortable? Small breakout boards are handy, but they may make the sensor uncomfortable to wear.

I'd suggest taking at look at the Adafruit site for some ideas on wearables and sensor interfacing. There is a lot of useful information there and much of it focuses on Arduino based designs. For the most part the sensors they sell and use are well documented either with data sheets or code (or both).