yes, you need a bandcable connector that can connect to the pinheader on the PI, then you can put wires in the connector in the other end of the cable, and connect them to the breadboard.
Initially I thought to plug in a pinheader in the breadbord, and plug the cable in that, but that isn't possible because it would connect pairs of pins on the PI's pinheader, and for example connecting pin 1 and 2 together is very bad news, as you would connect the 3V3 and 5V power supplies together, which potentially could destroy your PI.
Actually this is a bit unpractical way to experiment with the GPIO's of the PI.
There are some companies making special boards now for the GPIO of the rasperry PI's to solve this connecting up problem.
Companies like adafruit do:
http://www.adafruit.com/blog/2012/04/26 ... pberry-pi/
in fact the wiki has a section on interfacing to the GPIO's
A cheap alternative would be to use a bandcable connector, and strip off the connector at one end, and split the bandcable in individual wires, strip the wires, and tin them with a soldering iron, so that the ends can be put into the breadboard.
Another solution is to have individual wires with a female header on one end, (for the GPIO header) and a regular pin on the other end (for the breadboard) as seen in this video:
If you make your own put a small (100 Ohm) resistor in all the leads except the power and ground leads, this could help prevent costly mistakes.
Be very careful what you do, try to avoid making mistakes, like shorting wires together or mixing them up etc.