Are you just using a bare pico or are you using a custom PCB with the pico embedded into it like this one?

If the custom PCB has a 20 pin header then yeah you could just use the harnesses.

If it's a bare pico I would watch this video for how to solder the board and flash it and this one for wiring help (including how to make the ground loop). The Dupont wires are also called jumper wires

If you can't solder, you can get a pico with pre-soldered headers like this one or that one and use it with this breakout board (I've personally tested with this this one and doesn't need to be assembled/soldered like some of the other boards). You can use the same brook harnesses if you strip the wires and secure them to the appropriate gpio pins .

Sorry for the book but I hope this helps.