Push male headers into the Arduino Mega to hold them for soldering. Then put the PCB on top and solder all the pins.
Solder the rest of the components to the top of the board. Use helping hands to hold your solder while you hold the component and the soldering iron. Once you have 1 or 2 pins soldered this way, use the helping hands to hold the board while you hold the solder and iron. Certain components may transfer too much heat to your finger if you hold them with bare hands. You can use a piece of leather or rubber between your finger and the component.