From http://www.freetronics.com/pages/soldering-shield-headers
Many Arduino shields are shipped with headers packed loose, leaving it up to you to solder them in place. Sounds easy, right? Actually, it’s more fiddly and annoying than it sounds. Arduino headers consist of four separate headers, and if you get the pins even a little crooked on any of them it can be hard getting the shield to plug neatly into the Arduino. The first few times I soldered headers to shields it took several minutes of cursing, burned fingers, and repeatedly re-flowing the solder on the first joint to get them to sit perfectly straight before soldering the rest of the pins.
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