Yes, the header pins look like this:
The short sides of the pins protrude through the through-holes on the board (like in the picture you posted earlier) and should be soldered to the surrounding pads on the top side of the PCB if you want to be able to plug it into a breadboard. If you do not have much soldering experience, I strongly suggest you find a tutorial on soldering and familiarize yourself with it before you start so you know how to apply the solder, how much solder to add, what a good solder joint looks like, etc. Otherwise, you might damage the board or create bad solder joints that don't make adequate electrical connections.
Specifically, you should at least solder the places circled in the picture below:
I recommend you solder header pins in all the holes while you're at it, but this isn't absolutely necessary. The crucial part is soldering the pins you are using to the board. If you solder all the pins, it makes it easier to make alternate connections later (i.e. you won't have to go looking for soldering iron again).
Also, this might sound obvious, but just in case it isn't: you should not solder the board while power is being applied. In general, make sure you are really paranoid about applying power with incorrect connections as putting the wrong voltages on pins or shorting outputs together can permanently destroy electronics.