It depends on what type of connectors your sensors have. If you have standard 0.1" headers, you can use
jumper wires. Depending on the other end of connection (for RaspberryPi side you have to use Female connectors), you can use female to female (
F-F) or female to male (
jumper wires. They should be easy to buy on any hobbyst electronics shop. You need female side for connecting to RaspberryPi. They are very often used with
breadboards which are very handy for prototyping
If, on the other hand, you don't have any connectors on your sensors and you are going to solder them, you can cut F-F jumper wires in half and just one one end for RaspberryPi.
It is also possible to make your own headers but you need
Crimper Pliers and
Crimp pins with housing. This is much more expensive to get.