I find most of the approaches to Arduino breadboarding annoying. They work OK if you don't know what you want to make and you just want to mess around, but they are painful when you are ready to really make something useful.
I have spent countless hours soldering simple interconnect wires on prototype shields. They give me exactly what I need/want but why do I have to spend time soldering in yet another connector that doesn't do much more than pinout another connector?
Sensor shields are a pretty decent solution since they pin out everything with a power and ground for each signal, but they can get pretty pricey when you add in the cost of the shield and cabling. Plus they get pretty tall till you have a Processor, Sensor Shield and then the vertical wiring above all that.