This is a page on how to build a screw connector break out board. Cable fitting, with or without GPIO pin protection.
http://www.thebox.myzen.co.uk/Raspberry/Breakout.html
There is also a lengthy video on how to make the surface mount version of the protection. There is a no protection version as well as a through hole component version. All built on veroboard. There is a downloadable pack of larger layout images and a text file of links to components used from Farnell or Rapid On Line.
Edit by Abishur: Fixed URL