soldering - Do I really need to solder headers to a shield? Or can I just plug it into my Arduino?

I recently purchased an MP3 Player Shield for my Arduino. I bought a couple of headers to run through the shield's holes down to my arduino. Is this TRULY necessary (for testing purposes)? Or could I just plug it in and down to the Arduino.

By "plug it in and down to the Arduino," I mean running the stack headers through the shield's pinholes and down into the female pins of the arduino" without any soldering.