These wires allow you to easily connect the main board to sensors and actuators. They snugly fit over the pins. No soldering required.
For most devices you will need to buy the Female-to-Female version. For some projects the Male to Female version is also required. You can start buy buying a combo-pack that has all three wire types in it.
A wire length of 10cm is more than enough.
Tip: to make your life easier, try using red or orange wire for the positive power connections (often called VCC). Use black or grey wires for the negative connections (GND).