Cool! I use Weller soldering stations, but I also have a little USB-C powered TS101 that I love, it heats up fast and does great work and it's portable. I'd suggest checking that out. Get some 63/37 rosin core solder for its low melting point (and rosin core means it has flux inside of it). As far as connectors for your sensors, you could get something like this kit (which actually comes with 3 meters of 3 conductor 22AWG wire, which could do the trick).

Personally, I've mounted my ESP8266 boards to PCB boards and used right-angle pin headers (like what's on your sensor) to break out specific pins for power and sensors to keep things clean. In your case, you could use the kit above and just plug it straight into the board... I really like the M5Stack Core because they have a display and break out the pins nicely for you to access, but it's probably overkill for your project.

Good luck with the build!