So you have 1, 2, 20 boards to assemble and the last step is to solder the header pins.
Unlike components like caps or resistors where you can bend the wires on the solder side to keep them from falling through - headers cannot be bent. An even you did, getting the straight is a pain. Loose, they tend to look like this -
And, if you can get them to stay, when soldered that's where they'll stay. Ugly! So here's how I solved this. Using a breadboard. Start by getting all the headers ready.
Next insert them into the board - aligned with the holes in the circuit board.
Don't worry about getting them all the way. Place the circuit board on pins and using a flat edge press the pins into the board until at the desired depth (I'm using a razor blade - and I have had stiches, just not in my fingers - yet).
Now solder. Don't burn your fingers!
And voila! Nice straight pins.