First, get a big roll of duct tape...
If you look on the FIRST website under FRC documents:
http://usfirst.org/community/frc/content.aspx?id=452
You will find the Sensor Manual. Duct tape this page to your browser.
Then while on that page, click on additional technical resources. Once there, use a really long piece of duct tape to make sure you don't loose the page from the other piece of duct tape.
I'm really impressed with the amount of documentation provided this year. It is incredible over previous years. FIRST, NI, WPI, and all of their suppliers have taken great lengths to ensure all teams have the information needed to make the robot.
It's WAY too much for one person to cover in the build season. But get and save the documents now so you will be better prepared for next year's curve ball in the game.
To answer your question, The PWM cables can be soldered in to the PCBs. The PCB layout is such that the ground paths follow the black wire, the 5V power is the red, and the White is your signal from the Axis you are interested in. The ground wires are near the board edge.
Some recommend special connections and wiring techniques to minimize the noises generated by the robot motors, but to experiment with the devices to see how they will work, The above method should be fine without spending a lot of cash.
I hope this helps you.
EDIT:
I believe the outputs are analog signals, so you will want to monitor them with the Analog breakout box.